Random noise and perturbation of copulas

Radko Mesiar; Ayyub Sheikhi; Magda Komorníková

Kybernetika (2019)

  • Volume: 55, Issue: 2, page 422-434
  • ISSN: 0023-5954

Abstract

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For a random vector ( X , Y ) characterized by a copula C X , Y we study its perturbation C X + Z , Y characterizing the random vector ( X + Z , Y ) affected by a noise Z independent of both X and Y . Several examples are added, including a new comprehensive parametric copula family 𝒞 k k ∈ [ - ∞ , ∞ ] .

How to cite

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Mesiar, Radko, Sheikhi, Ayyub, and Komorníková, Magda. "Random noise and perturbation of copulas." Kybernetika 55.2 (2019): 422-434. <http://eudml.org/doc/294473>.

@article{Mesiar2019,
abstract = {For a random vector $(X,Y)$ characterized by a copula $C_\{X,Y\}$ we study its perturbation $C_\{X+Z,Y\}$ characterizing the random vector $(X+Z,Y)$ affected by a noise $Z$ independent of both $X$ and $Y$. Several examples are added, including a new comprehensive parametric copula family $\left(\mathcal \{C\}_k \right) _\{k \in [-\infty , \infty ]\}$.},
author = {Mesiar, Radko, Sheikhi, Ayyub, Komorníková, Magda},
journal = {Kybernetika},
keywords = {copula; noise; perturbation of copula; random vector},
language = {eng},
number = {2},
pages = {422-434},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Random noise and perturbation of copulas},
url = {http://eudml.org/doc/294473},
volume = {55},
year = {2019},
}

TY - JOUR
AU - Mesiar, Radko
AU - Sheikhi, Ayyub
AU - Komorníková, Magda
TI - Random noise and perturbation of copulas
JO - Kybernetika
PY - 2019
PB - Institute of Information Theory and Automation AS CR
VL - 55
IS - 2
SP - 422
EP - 434
AB - For a random vector $(X,Y)$ characterized by a copula $C_{X,Y}$ we study its perturbation $C_{X+Z,Y}$ characterizing the random vector $(X+Z,Y)$ affected by a noise $Z$ independent of both $X$ and $Y$. Several examples are added, including a new comprehensive parametric copula family $\left(\mathcal {C}_k \right) _{k \in [-\infty , \infty ]}$.
LA - eng
KW - copula; noise; perturbation of copula; random vector
UR - http://eudml.org/doc/294473
ER -

References

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  6. Sklar, A., Fonctions de répartition a n dimensions et leurs marges., Publ. Inst. Statist. Univ. Paris 8 (1959), 229-231. MR0125600
  7. Wang, R., 10.1214/ejp.v19-3373, Electron. J. Probab. 19 (2014), 84, 1-18. MR3263641DOI10.1214/ejp.v19-3373
  8. Williamson, R. C., Downs, R. C., 10.1016/0888-613x(90)90022-t, Int. J. Approx. Reason. 4 (2014), 89-158. MR1042207DOI10.1016/0888-613x(90)90022-t

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