Characterization of all copulas associated with non-continuous random variables

被引：43

作者：

de Amo, E. ^{[1
]}

Diaz Carrillo, M. ^{[2
]}

Fernandez-Sanchez, J. ^{[1
]}

机构：

[1] Univ Almeria, Almeria 04120, Spain

[2] Univ Granada, E-18071 Granada, Spain

来源：

FUZZY SETS AND SYSTEMS | 2012年 / 191卷

关键词：

Copula; Subcopula;

D O I：

10.1016/j.fss.2011.10.005

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

We introduce a constructive method, by means of a doubly stochastic measure, to describe all the copulas that, in view of Sklar's Theorem, are able to connect a bivariate distribution to its marginals. We use this to give the lower and upper optimal bounds for all the copulas that extend a given subcopula. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：103 / 112

页数：10

共 15 条

[1]

[Anonymous], IMS LECT NOTES MONOG

[2] Rearrangement inequalities for functionals with monotone integrands [J].