On the approximation of copulas via shuffles of Min
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Publication:451150
DOI10.1016/j.spl.2012.06.008zbMath1349.62174OpenAlexW2001026131MaRDI QIDQ451150
Fabrizio Durante, Juan Fernández-Sánchez
Publication date: 21 September 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2012.06.008
Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)
Related Items (12)
Some properties of double shuffles of bivariate copulas and (extreme) copulas invariant with respect to Lüroth double shuffles ⋮ Distribution functions, extremal limits and optimal transport ⋮ Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems ⋮ Rearrangement algorithm and maximum entropy ⋮ Shuffle of min’s random variable approximations of bivariate copulas’ realization ⋮ Multivariate copulas with hairpin support ⋮ Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity ⋮ Bounds on integrals with respect to multivariate copulas ⋮ Extremal dependence concepts ⋮ Ordering risk bounds in factor models ⋮ Patched approximations and their convergence ⋮ Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals
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