相关论文: Copulas: compatibility and Fr\'echet classes

In this paper, the author introduces new methods to construct Archimedean copulas. The generator of each copula fulfills the sufficient conditions as regards the boundary and being continuous, decreasing, and convex. Each inverse generator…

In this paper, we introduce patchwork constructions for multivariate quasi-copulas. These results appear to be new since the kind of approach has been limited to either copulas or only bivariate quasi-copulas so far. It seems that the…

We propose the extension of Fr\'{e}chet-Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fr\'{e}chet-Hoeffding upper (lower) bound indicates…

Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular, we examine the relations between the measure of concordance of an $n$-copula and the…

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…

This paper lays out a principled approach to compare copula forecasts via strictly consistent scores. We first establish the negative result that, in general, copulas fail to be elicitable, implying that copula predictions cannot sensibly…

Copulas are popular as models for multivariate dependence because they allow the marginal densities and the joint dependence to be modeled separately. However, they usually require that the transformation from uniform marginals to the…

New copulas, based on perturbation theory, are introduced to clarify a \emph{symmetrization} procedure for asymmetric copulas. We give also some properties of the \emph{symmetrized} copula. Finally, we examine families of copulas with a…

Modeling of high order multivariate probability distribution is a difficult problem which occurs in many fields. Copula approach is a good choice for this purpose, but the curse of dimensionality still remains a problem. In this paper we…

We examine the possible states of subsystems of a system of bits or qubits. In the classical case (bits), this means the possible marginal distributions of a probability distribution on a finite number of binary variables; we give necessary…

We generalize the notion of essential closures which is used in formulating a geometric necessary condition for a set to be the support of a multivariate copula. Furthermore, in some special cases, we derive an explicit formula of the…

Copulas are essential tools in statistics and probability theory, enabling the study of the dependence structure between random variables independently of their marginal distributions. Among the various types of copulas, Ratio-Type Copulas…

Conditional copulas are flexible statistical tools that couple joint conditional and marginal conditional distributions. In a linear regression setting with more than one covariate and two dependent outcomes, we propose the use of additive…

Finding upper and lower bounds to integrals with respect to copulas is a quite prominent problem in applied probability. In their 2014 paper, Hofer and Iaco showed how particular two dimensional copulas are related to optimal solutions of…

We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula. The test statistic is based on a combination of two measures resulting from the characterization of Archimedean copulas by the property of…

A new class of copulas based on order statistics was introduced by Baker (2008). Here, further properties of the bivariate and multivariate copulas are described, such as that of likelihood ratio dominance (LRD), and further bivariate…

The interrelations between various classes of convergence spaces defined by countability conditions are studied. Remarkably, they all find characterizations in the usual space of ultrafilters in terms of classical topological properties.…

Copulas are now frequently used to construct or estimate multivariate distributions because of their ability to take into account the multivariate dependence of the different variables while separately specifying marginal distributions.…

In this note, pointwise best-possible (lower and upper) bounds on the set of copulas with a given value of the Gini's gamma coefficient are established. It is shown that, unlike the best-possible bounds on the set of copulas with a given…

The main goal of this paper is to study the extent of freedom one has in constructing quasi-copulas vs. copulas. Specifically, it exhibits three construction methods for quasi-copulas based on recent developments: a representation of…