Markov product invariance in classes of bivariate copulas characterized by univariate functions

DOI10.1016/J.JMAA.2021.125184MaRDI QIDQ2033217zbMATH OpenOpenAlexFDO

Authors Wolfgang Trutschnig, M. Tschimpke, Juan Fernández-Sánchez

Publication date 14 June 2021

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jmaa.2021.125184

zbMATH Keywords

copulainvariancestar productMarkov product

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)

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Cites work

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• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
• Advanced analysis on the real line
• An introduction to copulas.
• Copulas and Markov processes
• Copulas for Markovian dependence
• Decompositions of Substochastic Transition Functions
• Dependence measuring from conditional variances
• Foundations of Modern Probability
• Idempotent and multivariate copulas with fractal support
• Idempotent copulæ: ordinal sums and Archimedean copulæ
• Mass distributions of two-dimensional extreme-value copulas and related results
• On Cesáro convergence of iterates of the star product of copulas
• On a strong metric on the space of copulas and its induced dependence measure
• Singularity aspects of Archimedean copulas
• Some Smoothing Properties of the Star Product of Copulas
• Some members of the class of (quasi-)copulas with given diagonal from the Markov kernel perspective
• Some results on shuffles of two-dimensional copulas
• The semigroup of doubly-stochastic matrices
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Cited in

(7)

• Factorizable non-atomic copulas
• Stochastic monotonicity and the Markov product for copulas
• A Markov product for tail dependence functions
• Characterization of pre-idempotent copulas
• Idempotent copulæ: ordinal sums and Archimedean copulæ
• New results on perturbation-based copulas
• Ordinal sums: from triangular norms to bi- and multivariate copulas

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