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Random noise and perturbation of copulas

Radko MesiarAyyub SheikhiMagda Komorníková — 2019

Kybernetika

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 [ - , ] .

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