On the Characterization of Copulas by Differential Equations

DOI10.1080/03610926.2012.700375zbMath1302.62137OpenAlexW2034316746MaRDI QIDQ2931546

Piotr Jaworski

Publication date: 26 November 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.700375

zbMATH Keywords

copulasArchimedean copulasunivariate conditioningconcordance orderingdiscontinuous ordinary differential equationspositive quadrant dependence (PQD)left invariant copulas

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05) Discontinuous ordinary differential equations (34A36)

Related Items

Conditioning of copulas: transformations, invariance and measures of concordance ⋮ On the class of truncation invariant bivariate copulas under constraints ⋮ Absolutely continuous copulas with prescribed support constructed by differential equations, with an application in toxicology

Uses Software

• QRM

Cites Work

• Unnamed Item
• Invariant dependence structures and Archimedean copulas
• An introduction to copulas.
• Threshold copulas and positive dependence
• Functional analysis, Sobolev spaces and partial differential equations
• Invariant dependence structure under univariate truncation: the high-dimensional case
• Invariant dependence structure under univariate truncation
• A New Characterization of Bivariate Copulas
• Spatial contagion between financial markets: a copula-based approach
• Rectangular Patchwork for Bivariate Copulas and Tail Dependence
• Extremal solutions of a discontinuous scalar differential equation
• Copulas Constructed from Horizontal Sections
• Gluing Copulas

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