Bounds of general Fréchet classes (Q2893938)
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scientific article; zbMATH DE number 6050648
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bounds of general Fréchet classes |
scientific article; zbMATH DE number 6050648 |
Statements
26 June 2012
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copula
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Fréchet bounds
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Fréchet class
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linear Diophantine equation
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0.8668472
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0.8660102
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0.8657734
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Bounds of general Fréchet classes (English)
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The manuscript deals with multivariate copulas with given margins. First, a characterization is given for all copulas belonging to a Fréchet class in terms of the \(n\)-increasing property and some simple bounds. Then a method is presented for interpreting the search of the bounds of a general Fréchet class in terms of a solution of a linear system of Diophantine equations. As a byproduct, some analytic constructions of bounds are presented.
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