Copulae: Some mathematical aspects

DOI10.1002/asmb.835zbMath1275.91151OpenAlexW2127199737MaRDI QIDQ2862419

Carlo Sempi

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.835

zbMATH Keywords

compatibilitymeasure-preserving transformationscopulæ\(\ast\)-operation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (13)

Some results on homeomorphisms between fractal supports of copulas ⋮ Characterization of copulas with given diagonal and opposite diagonal sections ⋮ Idempotent and multivariate copulas with fractal support ⋮ On the \(\alpha \)-migrativity of multivariate semi-copulas ⋮ Absolutely continuous copulas with given sub-diagonal section ⋮ Singularity aspects of Archimedean copulas ⋮ Copulae, self-affine functions, and fractal dimensions ⋮ Semi-polynomial copulas ⋮ Copulas with continuous, strictly increasing singular conditional distribution functions ⋮ A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas ⋮ Some Smoothing Properties of the Star Product of Copulas ⋮ Some members of the class of (quasi-)copulas with given diagonal from the Markov kernel perspective ⋮ A note on quasi-copulas and signed measures

Cites Work

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• On the multivariate probability integral transformation

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