Final solution to the problem of relating a true copula to an imprecise copula

DOI10.1016/J.FSS.2019.07.002MaRDI QIDQ2219342zbMATH OpenOpenAlexFDO

Authors M. Omladič, Nik Stopar

Publication date 20 January 2021

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

Full work available at URL https://arxiv.org/abs/1904.07712

zbMATH Keywords

copuladefectquasi-copuladiscrete copulaimprecise copula

Mathematics Subject Classification ID

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

Abstract: In this paper we solve in the negative the problem proposed in this journal (I. Montes et al., Sklar's theorem in an imprecise setting, Fuzzy Sets and Systems, 278 (2015), 48-66) whether an order interval defined by an imprecise copula contains a copula. Namely, if $mathcalC$ is a nonempty set of copulas, then $underlineC=inf{C}_{CinmathcalC}$ and $overlineC=sup{C}_{CinmathcalC}$ are quasi-copulas and the pair $(underlineC,overlineC)$ is an imprecise copula according to the definition introduced in the cited paper, following the ideas of $p$-boxes. We show that there is an imprecise copula $(A,B)$ in this sense such that there is no copula $C$ whatsoever satisfying $AleqslantCleqslantB$. So, it is questionable whether the proposed definition of the imprecise copula is in accordance with the intentions of the initiators. Our methods may be of independent interest: We upgrade the ideas of Dibala et al. (Defects and transformations of quasi-copulas, Kybernetika, 52 (2016), 848-865) where possibly negative volumes of quasi-copulas as defects from being copulas were studied.

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Cited in

(10)

• Representation of the infimum and supremum of a family of multivariate distribution functions
• Extreme generators of shock induced copulas
• Extending sub-quasi-copulas
• Constructing copulas from shock models with imprecise distributions
• Extending multivariate sub-quasi-copulas
• Dedekind-MacNeille completion of multivariate copulas via ALGEN method
• Multivariate imprecise Sklar type theorems
• Some multivariate imprecise shock model copulas
• On a new partial order on bivariate distributions and on constrained bounds of their copulas
• Normal cones corresponding to credal sets of lower probabilities

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