Reflected maxmin copulas and modeling quadrant subindependence

DOI10.1016/J.FSS.2019.01.023MaRDI QIDQ2037445zbMATH OpenOpenAlexWikidataFDO

Authors M. Omladič, T. Košir

Publication date 1 July 2021

Published in Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.07646

zbMATH Keywords

copuladependence conceptsshock modelssemilinear copulasMarshall-Olkin copulasmaxmin copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis and fuzziness (62H86)

Abstract: Copula models have become popular in different applications, including modeling shocks, in view of their ability to describe better the dependence concepts in stochastic systems. The class of maxmin copulas was recently introduced by Omladiv{c} and Ruv{z}i'{c}. It extends the well known classes of Marshall-Olkin and Marshall copulas by allowing the external shocks to have different effects on the two components of the system. By a reflection (flip) in one of the variables we introduce a new class of bivariate copulas called reflected maxmin (RMM) copulas. We explore their properties and show that symmetric RMM copulas relate to general RMM copulas similarly as do semilinear copulas relate to Marshall copulas. We transfer that relation also to maxmin copulas. We also characterize possible diagonal functions of symmetric RMM copulas.

Recommendations

• Asymmetric linkages: maxmin vs. reflected maxmin copulas
• On some properties of reflected maxmin copulas
• Shock models with recovery option via the maxmin copulas
• Singular components of shock model copulas
• Some multivariate imprecise shock model copulas

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Cited in

(7)

• Extreme generators of shock induced copulas
• Singular components of shock model copulas
• Asymmetric linkages: maxmin vs. reflected maxmin copulas
• Constructing copulas from shock models with imprecise distributions
• Shock models with recovery option via the maxmin copulas
• On some properties of reflected maxmin copulas
• Some multivariate imprecise shock model copulas

Describes a project that uses

Uses Software

• CopulaModel

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