On the singular components of a copula
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Publication:2794733
DOI10.1239/jap/1450802760zbMath1336.60020OpenAlexW2306844842MaRDI QIDQ2794733
Wolfgang Trutschnig, Fabrizio Durante, Juan Fernández-Sánchez
Publication date: 11 March 2016
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1450802760
Statistical methods; risk measures (91G70) Probability distributions: general theory (60E05) Integration and disintegration of measures (28A50)
Related Items (11)
Covar of families of copulas ⋮ Shock models with dependence and asymmetric linkages ⋮ On the measure induced by copulas that are invariant under univariate truncation ⋮ The distribution of the probability mass of conic copulas ⋮ On universal \(K_C\)-integrals ⋮ Zero-sets of copulas ⋮ A note on an idempotent transformation of absolutely continuous Archimedean copulas ⋮ Zero-linear copulas ⋮ Singular components of shock model copulas ⋮ Copula-based Markov process ⋮ On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
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