Componentwise concave copulas and their asymmetry

Fabrizio Durante; Pier Luigi Papini

Kybernetika (2009)

  • Volume: 45, Issue: 6, page 1003-1011
  • ISSN: 0023-5954

Abstract

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The class of componentwise concave copulas is considered, with particular emphasis on its closure under some constructions of copulas (e.g., ordinal sum) and its relations with other classes of copulas characterized by some notions of concavity and/or convexity. Then, a sharp upper bound is given for the L ∞ -measure of non-exchangeability for copulas belonging to this class.

How to cite

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Durante, Fabrizio, and Papini, Pier Luigi. "Componentwise concave copulas and their asymmetry." Kybernetika 45.6 (2009): 1003-1011. <http://eudml.org/doc/37685>.

@article{Durante2009,
abstract = {The class of componentwise concave copulas is considered, with particular emphasis on its closure under some constructions of copulas (e.g., ordinal sum) and its relations with other classes of copulas characterized by some notions of concavity and/or convexity. Then, a sharp upper bound is given for the $L^\{\infty \}$-measure of non-exchangeability for copulas belonging to this class.},
author = {Durante, Fabrizio, Papini, Pier Luigi},
journal = {Kybernetika},
keywords = {copulas; exchangeability; positive regression dependence; copulas; exchangeability; positive regression dependence},
language = {eng},
number = {6},
pages = {1003-1011},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Componentwise concave copulas and their asymmetry},
url = {http://eudml.org/doc/37685},
volume = {45},
year = {2009},
}

TY - JOUR
AU - Durante, Fabrizio
AU - Papini, Pier Luigi
TI - Componentwise concave copulas and their asymmetry
JO - Kybernetika
PY - 2009
PB - Institute of Information Theory and Automation AS CR
VL - 45
IS - 6
SP - 1003
EP - 1011
AB - The class of componentwise concave copulas is considered, with particular emphasis on its closure under some constructions of copulas (e.g., ordinal sum) and its relations with other classes of copulas characterized by some notions of concavity and/or convexity. Then, a sharp upper bound is given for the $L^{\infty }$-measure of non-exchangeability for copulas belonging to this class.
LA - eng
KW - copulas; exchangeability; positive regression dependence; copulas; exchangeability; positive regression dependence
UR - http://eudml.org/doc/37685
ER -

References

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