Copulas: compatibility and Fr\'echet classes
Statistics Theory
2009-03-22 v1 Probability
Statistics Theory
Abstract
We determine under which conditions three bivariate copulas are compatible, viz. they are the bivariate marginals of the same trivariate copula, and, then, construct the class of these copulas. In particular, the upper and lower bounds for this class of trivariate copulas are determined.
Cite
@article{arxiv.0711.2409,
title = {Copulas: compatibility and Fr\'echet classes},
author = {Fabrizio Durante and Erich Peter Klement and José Juan Quesada-Molina},
journal= {arXiv preprint arXiv:0711.2409},
year = {2009}
}
Comments
LaTeX, 14 pages