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Extreme distribution functions of copulas

Manuel Úbeda-Flores (2008)

Kybernetika

In this paper we study some properties of the distribution function of the random variable C(X,Y) when the copula of the random pair (X,Y) is M (respectively, W) – the copula for which each of X and Y is almost surely an increasing (respectively, decreasing) function of the other –, and C is any copula. We also study the distribution functions of M(X,Y) and W(X,Y) given that the joint distribution function of the random variables X and Y is any copula.

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