A Decomposition of Copulas and Its Use

DOI10.1080/03610920500257238MaRDI QIDQ5712003zbMATH OpenOpenAlexFDO

Authors

Publication date 22 December 2005

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

Full work available at URL https://doi.org/10.1080/03610920500257238

zbMATH Keywords

copulasdoubly stochastic matrixprior probabilitypermutation matrixBirkhoff\,-\,von Neumann theoremdiscretized copulasGini's measure

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• Inequalities for distributions with given marginals
• Metrics on permutations useful for positive dependence
• Partial orders on permutations and dependence orderings on bivariate empirical distributions
• Some Properties and Applications of Doubly Stochastic Matrices
• Some new partial orderings on \(S_ n\) and \(S_ n \times{}S_ n\)

Cited in

(6)

• Copulas Constructed from Horizontal Sections
• Mixture decomposition of distributions by copulas in the symbolic data analysis framework
• Decomposition and graphical correspondence analysis of checkerboard copulas
• Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
• Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
• Tensor approximation of generalized correlated diffusions and functional copula operators

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