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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 [ - , ] .

On asymmetric distributions of copula related random variables which includes the skew-normal ones

Ayyub SheikhiFereshteh AradRadko Mesiar — 2022

Kybernetika

Assuming that C X , Y is the copula function of X and Y with marginal distribution functions F X ( x ) and F Y ( y ) , in this work we study the selection distribution Z = d ( X | Y T ) . We present some special cases of our proposed distribution, among them, skew-normal distribution as well as normal distribution. Some properties such as moments and moment generating function are investigated. Also, some numerical analysis is presented for illustration.

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