A New Characterization of Bivariate Copulas

DOI10.1080/03610920903151459zbMath1203.62101OpenAlexW2072324786MaRDI QIDQ3058396

Fabrizio Durante, Piotr Jaworski

Publication date: 22 November 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903151459

zbMATH Keywords

copulaDini derivative2-increasing property

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Differentiation (real functions of one variable): general theory, generalized derivatives, mean value theorems (26A24) Functions of several variables (26B99)

Related Items (23)

Covar of families of copulas ⋮ Shock models with dependence and asymmetric linkages ⋮ On the Characterization of Copulas by Differential Equations ⋮ The key role of convexity in some copula constructions ⋮ A differential characterization of the \(d\)-increasingness property ⋮ On copulas with a trapezoid support ⋮ A generalization of quasi-homogenous copulas ⋮ A class of bivariate independence copula transformations ⋮ On differential properties of copulas ⋮ Exchangeable copulas ⋮ Asymmetric linkages: maxmin vs. reflected maxmin copulas ⋮ Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta ⋮ Unnamed Item ⋮ On conditional value at risk (CoVaR) for tail-dependent copulas ⋮ Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence ⋮ Reflected maxmin copulas and modeling quadrant subindependence ⋮ On Copulas and Differential Inclusions ⋮ On a new partial order on bivariate distributions and on constrained bounds of their copulas ⋮ Constructing copulas from shock models with imprecise distributions ⋮ Copula-based Markov process ⋮ On copulas of self-similar Ito processes ⋮ On convergence of associative copulas and related results ⋮ Solution to two open problems on perturbations of the product copula

Uses Software

• QRM

Cites Work

• Unnamed Item
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• COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS
• OPPOSITE DIAGONAL SECTIONS OF QUASI-COPULAS AND COPULAS
• On uniform tail expansions of bivariate copulas
• Gluing Copulas

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