Construction of a class of copula using the finite difference method (Q1981866)
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scientific article; zbMATH DE number 7391751
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of a class of copula using the finite difference method |
scientific article; zbMATH DE number 7391751 |
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Construction of a class of copula using the finite difference method (English)
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7 September 2021
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Summary: The definition of a copula function and the study of its properties are at the same time not obvious tasks, as there is no general method for constructing them. In this paper, we present a method that allows us to obtain a class of copula as a solution to a boundary value problem. For this, we use the finite difference method which is a common technique for finding approximate solutions of partial differential equations which consists in solving a system of relations (numerical scheme) linking the values of the unknown functions at certain points sufficiently close to each other.
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class of copula
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finite difference method
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boundary value problem
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multivariate distributions
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Sklar's theorem
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0.89356595
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0.8899204
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0.8864985
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0.87301743
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0.8727141
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0.87100196
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