Novel construction of copulas based on (, ) transformation for fuzzy random variables

DOI10.1155/2021/4310675MaRDI QIDQ2052078zbMATH OpenOpenAlexFDO

Authors Stylianos Giakoumakis, B. K. Papadopoulos

Publication date 25 November 2021

Published in Journal of Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/4310675

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis and fuzziness (62H86)

Review text

Summary: The paper introduces a method for the construction of bivariate copulas with the usage of specific values of the parameters \(\alpha\) and \(\beta\) (\((\alpha, \beta)\) transformation) and the parameters \(\kappa\) and \(\lambda\) in their domain. The produced bivariate copulas are defined in four subrectangles of the unit square. The bounds of the produced copulas are investigated, while a novel construction method for fuzzy copulas is introduced, with the usage of the produced copulas via \((\alpha, \beta)\) transformation in four subrectangles of the unit square. Following this construction procedure, the production of an infinite number of copulas and fuzzy copulas could be possibly achieved. Some applications of the proposed methods are presented.

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Cited in

(1)

• Fuzzy vine copula construction: an approach to modeling dependence under uncertainty

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