Extreme distribution functions of copulas

Manuel Úbeda-Flores

Kybernetika (2008)

  • Volume: 44, Issue: 6, page 817-825
  • ISSN: 0023-5954

Abstract

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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.

How to cite

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Úbeda-Flores, Manuel. "Extreme distribution functions of copulas." Kybernetika 44.6 (2008): 817-825. <http://eudml.org/doc/33967>.

@article{Úbeda2008,
abstract = {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.},
author = {Úbeda-Flores, Manuel},
journal = {Kybernetika},
keywords = {copula; diagonal section; distribution function; Lipschitz condition; opposite diagonal section; ordering; Spearman’s footrule; copula; diagonal section; distribution function; Lipschitz condition; opposite diagonal section; ordering; Spearman's footrule},
language = {eng},
number = {6},
pages = {817-825},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Extreme distribution functions of copulas},
url = {http://eudml.org/doc/33967},
volume = {44},
year = {2008},
}

TY - JOUR
AU - Úbeda-Flores, Manuel
TI - Extreme distribution functions of copulas
JO - Kybernetika
PY - 2008
PB - Institute of Information Theory and Automation AS CR
VL - 44
IS - 6
SP - 817
EP - 825
AB - 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.
LA - eng
KW - copula; diagonal section; distribution function; Lipschitz condition; opposite diagonal section; ordering; Spearman’s footrule; copula; diagonal section; distribution function; Lipschitz condition; opposite diagonal section; ordering; Spearman's footrule
UR - http://eudml.org/doc/33967
ER -

References

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