On some properties of reflected maxmin copulas

DOI10.1016/J.FSS.2019.07.007zbMATH Open1452.62350OpenAlexW2962782728MaRDI QIDQ2219340FDOQ2219340

Authors: Noppadon Kamnitui, Wolfgang Trutschnig 

Publication date: 20 January 2021

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2019.07.007

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zbMATH Keywords

copulaKendall's tauSpearman's rhoMarkov kernelmaxmin copulas

Mathematics Subject Classification ID

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

Cites Work

• On a strong metric on the space of copulas and its induced dependence measure
• An introduction to copulas.
• Probability theory. A comprehensive course.
• Foundations of Modern Probability
• Title not available (Why is that?)
• A new class of bivariate copulas.
• Some members of the class of (quasi-)copulas with given diagonal from the Markov kernel perspective
• Singularity aspects of Archimedean copulas
• Mass distributions of two-dimensional extreme-value copulas and related results
• On the exact region determined by Kendall's \(\tau\) and Spearman's \(\rho\)
• Shock models with recovery option via the maxmin copulas
• Non-exchangeability of copulas arising from shock models
• Shock models with dependence and asymmetric linkages
• Asymmetric linkages: maxmin vs. reflected maxmin copulas
• A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas

Cited In (4)

• Singular components of shock model copulas
• Reflected maxmin copulas and modeling quadrant subindependence
• Extreme generators of shock induced copulas
• Asymmetric linkages: maxmin vs. reflected maxmin copulas

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