Exact upper bound for copulas with a given diagonal section
Probability
2024-03-28 v2 Statistics Theory
Statistics Theory
Abstract
We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas with a given diagonal section and construct a copula that attains it. We derive a formula for the maximal asymmetry that is simple enough to be used by practitioners.
Keywords
Cite
@article{arxiv.2308.02220,
title = {Exact upper bound for copulas with a given diagonal section},
author = {Damjana Kokol Bukovšek and Blaž Mojškerc and Nik Stopar},
journal= {arXiv preprint arXiv:2308.02220},
year = {2024}
}
Comments
28 pages