Remarks on two product-like constructions for copulas

MaRDI QIDQ5446378zbMATH OpenFDO

Authors Fabrizio Durante, Erich Peter Klement, José Juan Quesada-Molina, Peter Sarkoci

Publication date 6 March 2008

Full work available at URL https://eudml.org/doc/33854, http://www.kybernetika.cz/content/2007/2/235

zbMATH Keywords

concordancecopulaordinal sumshuffle of Min

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• An introduction to copulas.
• Copulas and Markov processes
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3870293 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 222634 (Why is no real title available?)

Cited in

(28)

• Shuffles of copulas
• On the construction of radially symmetric copulas in higher dimensions
• Sklar's theorem, copula products, and ordering results in factor models
• On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
• Copulae, self-affine functions, and fractal dimensions
• Ordering risk bounds in factor models
• New transformations of aggregation functions based on monotone systems of functions
• Copula-based Markov process
• Univariate conditioning of vine copulas
• Some Smoothing Properties of the Star Product of Copulas
• Copulas and self-affine functions
• Idempotent and multivariate copulas with fractal support
• A closed-form universal trivariate pair-copula
• Asymmetric copulas and their application in design of experiments
• On the role of ultramodularity and Schur concavity in the construction of binary copulas
• Gluing copulas
• Countably piecewise monotonic surjection implicit dependence copulas
• Ordinal sums: from triangular norms to bi- and multivariate copulas
• Several algorithms for constructing copulas via \(\ast\)-product decompositions
• Supermodular and directionally convex comparison results for general factor models
• Copula modeling from Abe Sklar to the present day
• Copulas and associated fractal sets
• Measure-preserving functions and the independence copula
• Extremality of factorizable copulas and implicit dependence copulas
• Joining copulas of extreme implicit dependence copulas
• Shuffles of copulas and a new measure of dependence
• Dependence measuring from conditional variances
• A scalar product for copulas

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