Some functionals for copulas

DOI10.1155/S0161171291000042MaRDI QIDQ808582zbMATH OpenOpenAlexFDO

Authors Claudi Alsina, A. Damas, J. J. Quesada

Publication date 1991

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/46618

zbMATH Keywords

connecting copuladependencefixed pointsfunctionalsjoint distribution functionn-copulasN-increasing functions

Mathematics Subject Classification ID

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

Review text

As the authors point out, the theory of couplas, introduced by \textit{A. Sklar} [Kybernetika, Praha 9, 449-460 (1973; Zbl 0292.60036)], has been found to be of interest in describing the dependence between two or more random variables, which is given by their joint distribution function. The paper studies some functionals operating on the set of the copulas defined on \([0,1]^ n\) and determines the conditions under which these functionals are well defined. Then it provides some counterexamples describing the validity of these conditions. It also studies the fixed points (n-copulas) of these functionals and concludes with some open problems.

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Cited in

(14)

• Universal integrals based on copulas
• A functional for copulas and quasi-copulas
• Multivariate capacity functionals vs. capacity functionals on product spaces
• On an interaction function for copulas
• Solution to an open problem about a transformation on the space of copulas
• On differential properties of copulas
• Copulas related to piecewise monotone functions of the interval and associated processes
• scientific article; zbMATH DE number 7407395 (Why is no real title available?)
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• Utility Copula Functions Matching All Boundary Assessments
• Distribution functions of copulas: A class of bivariate probability integral transforms
• Constructing copula functions with weighted geometric means
• Joint distributions of random sets and their relation to copulas
• Sklar's theorem for minitive belief functions

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