Statistical aspects of associativity for copulas

José M. González-Barrios

Kybernetika (2010)

  • Volume: 46, Issue: 1, page 149-177
  • ISSN: 0023-5954

Abstract

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In this paper we study in detail the associativity property of the discrete copulas. We observe the connection between discrete copulas and the empirical copulas, and then we propose a statistic that indicates when an empirical copula is associative and obtain its main statistical properties under independence. We also obtained asymptotic results of the proposed statistic. Finally, we study the associativity statistic under different copulas and we include some final remarks about associativity of samples.

How to cite

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González-Barrios, José M.. "Statistical aspects of associativity for copulas." Kybernetika 46.1 (2010): 149-177. <http://eudml.org/doc/37714>.

@article{González2010,
abstract = {In this paper we study in detail the associativity property of the discrete copulas. We observe the connection between discrete copulas and the empirical copulas, and then we propose a statistic that indicates when an empirical copula is associative and obtain its main statistical properties under independence. We also obtained asymptotic results of the proposed statistic. Finally, we study the associativity statistic under different copulas and we include some final remarks about associativity of samples.},
author = {González-Barrios, José M.},
journal = {Kybernetika},
keywords = {discrete copulas; associativity; permutations; independence; independence; discrete copulas; associativity; permutations},
language = {eng},
number = {1},
pages = {149-177},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Statistical aspects of associativity for copulas},
url = {http://eudml.org/doc/37714},
volume = {46},
year = {2010},
}

TY - JOUR
AU - González-Barrios, José M.
TI - Statistical aspects of associativity for copulas
JO - Kybernetika
PY - 2010
PB - Institute of Information Theory and Automation AS CR
VL - 46
IS - 1
SP - 149
EP - 177
AB - In this paper we study in detail the associativity property of the discrete copulas. We observe the connection between discrete copulas and the empirical copulas, and then we propose a statistic that indicates when an empirical copula is associative and obtain its main statistical properties under independence. We also obtained asymptotic results of the proposed statistic. Finally, we study the associativity statistic under different copulas and we include some final remarks about associativity of samples.
LA - eng
KW - discrete copulas; associativity; permutations; independence; independence; discrete copulas; associativity; permutations
UR - http://eudml.org/doc/37714
ER -

References

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  16. Discrete copulas – what they are, In: Prof. Joint EUSFLAT-LFA 2005 (E. Montsenyand P. Sobrevilla, eds.) Universitat Politecnica de Catalunya, Barcelona 2005, pp. 927–930. 
  17. An Introduction to Copulas, Second edition. Springer, New York 2006. Zbl1152.62030MR2197664
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