Multivariate countermonotonicity and the minimal copulas

DOI10.1016/j.cam.2016.12.032zbMath1359.62168MaRDI QIDQ508035

Jae Youn Ahn, Woo-Joo Lee, Ka Chun Cheung

Publication date: 9 February 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.12.032

zbMATH Keywords

variance minimization; comonotonicity; countermonotonicity; minimal copula

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

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

Uses Software

• CopulaModel