Random noise and perturbation of copulas.

DOI10.14736/KYB-2019-2-0422MaRDI QIDQ5206517zbMATH OpenOpenAlexFDO

Authors Ayyub Sheikhi, Magda Komorníková, Radko Mesiar

Publication date 18 December 2019

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/147845

zbMATH Keywords

copulanoiseperturbation of copularandom vector

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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• A comprehensive family of copulas to model bivariate random noise and perturbation
• New results on perturbation-based copulas
• Perturbation of bivariate copulas
• Bivariate copulas generated by perturbations
• Construction and application for a class of one-parameter perturbation of copula functions

Cites work

• An introduction to copulas.
• Convolution copula econometrics
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• On the distribution of sums of random variables with copula-induced dependence
• Principles of copula theory
• Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
• Sum of arbitrarily dependent random variables

Cited in

(10)

• The impact on the properties of the EFGM copulas when extending this family
• A comprehensive family of copulas to model bivariate random noise and perturbation
• New results on perturbation-based copulas
• Perturbations of copulas and mixing properties
• The least favorable noise
• A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables
• Perturbed Gaussian copula
• Copula-based measurement error models
• scientific article; zbMATH DE number 7687795 (Why is no real title available?)
• Parameterized transformations and truncation: when is the result a copula?

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