Zero-linear copulas

被引：4

作者：

Fernandez-Sanchez, Juan ^{[1
]}

Ubeda-Flores, Manuel ^{[2
]}

机构：

[1] Univ Almeria, Res Grp Math Anal, Almeria 04120, Spain

[2] Univ Almeria, Dept Math, Almeria 04120, Spain

来源：

INFORMATION SCIENCES | 2019年 / 503卷

关键词：

Archimedean copula; Conic copula; Copula; Zero-linear copula; ARCHIMEDEAN COPULAS; NON-EXCHANGEABILITY; PROBABILITY MASS; AGGREGATION; ASYMMETRY; CONSTRUCTION; RESPECT; NOTION;

D O I：

10.1016/j.ins.2019.06.057

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We introduce a new method for constructing copulas C-a special type of aggregation functions-based on the idea that C(u, v) = 0 if u <= g(v), for any continuous and decreasing function g : [0, 1] -> [0, 1] such that g(1) = 0, and C is linear if u is an element of [g(v), 1]. We also study the relationship between these copulas and other known families of copulas, we provide some salient properties and measure the dependence and asymmetry in this class of copulas. (C) 2019 Elsevier Inc. All rights reserved.

引用

页码：23 / 38

页数：16

共 50 条

[21] ON THE SINGULAR COMPONENTS OF A COPULA [J].

Durante, Fabrizio ;

Fernandez-Sanchez, Juan ;

Trutschnig, Wolfgang .

JOURNAL OF APPLIED PROBABILITY, 2015, 52 (04) :1175-1182

[22] A note on the notion of singular copula [J].

Durante, Fabrizio ;

Fernandez Sanchez, Juan ;

Sempi, Carlo .

FUZZY SETS AND SYSTEMS, 2013, 211 :120-122

[23]

Durante F, 2011, KYBERNETIKA, V47, P532

[24] L∞-measure of non-exchangeability for bivariate extreme value and Archimax copulas [J].

Durante, Fabrizio ;

Mesiar, Radko .

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2010, 369 (02) :610-615

[25] Measures of non-exchangeability for bivariate random vectors [J].

Durante, Fabrizio ;

Klement, Erich Peter ;

Sempi, Carlo ;

Ubeda-Flores, Manuel .

STATISTICAL PAPERS, 2010, 51 (03) :687-699

[26] Non-exchangeability of negatively dependent random variables [J].

Durante, Fabrizio ;

Papini, Pier Luigi .

METRIKA, 2010, 71 (02) :139-149

[27] New constructions of diagonal patchwork copulas [J].

Durante, Fabrizio ;

Antonio Rodriguez-Lallena, Jose ;

Ubeda-Flores, Manuel .

INFORMATION SCIENCES, 2009, 179 (19) :3383-3391

[28]

Embrechts P., 2002, Risk Management: Value at Risk and Beyond., P176

[29] On degrees of asymmetry of a copula with respect to a track [J].

Fernandez-Sanchez, Juan ;

Ubeda-Flores, Manuel .

FUZZY SETS AND SYSTEMS, 2019, 354 :104-115

[30] PROVING THE CHARACTERIZATION OF ARCHIMEDEAN COPULAS VIA DINI DERIVATIVES [J].

Fernandez-Sanchez, Juan ;

Ubeda-Flores, Manuel .

KYBERNETIKA, 2016, 52 (05) :785-790

← 1 2 3 4 5 →