Displaying similar documents to “Bounds of general Fréchet classes”

Basic bounds of Fréchet classes

Jaroslav Skřivánek (2014)

Kybernetika

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Algebraic bounds of Fréchet classes of copulas can be derived from the fundamental attributes of the associated copulas. A minimal system of algebraic bounds and related basic bounds can be defined using properties of pointed convex polyhedral cones and their relationship with non-negative solutions of systems of linear homogeneous Diophantine equations, largely studied in Combinatorics. The basic bounds are an algebraic improving of the Fréchet-Hoeffding bounds. We provide conditions...

Construction of multivariate copulas in n -boxes

José M. González-Barrios, María M. Hernández-Cedillo (2013)

Kybernetika

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In this paper we give an alternative proof of the construction of n -dimensional ordinal sums given in Mesiar and Sempi [17], we also provide a new methodology to construct n -copulas extending the patchwork methodology of Durante, Saminger-Platz and Sarkoci in [6] and [7]. Finally, we use the gluing method of Siburg and Stoimenov [20] and its generalization in Mesiar et al. [15] to give an alternative method of patchwork construction of n -copulas, which can be also used in composition...

On a problem by Schweizer and Sklar

Fabrizio Durante (2012)

Kybernetika

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We give a representation of the class of all n -dimensional copulas such that, for a fixed m ∈ ℕ , 2 ≤ m < n , all their m -dimensional margins are equal to the independence copula. Such an investigation originated from an open problem posed by Schweizer and Sklar.

Bivariate copulas: Transformations, asymmetry and measures of concordance

Sebastian Fuchs, Klaus D. Schmidt (2014)

Kybernetika

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The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transformed into an asymmetric one and (2) a condition under which for a given copula the value of every measure of concordance is equal to zero. The group also contains a subgroup which is of particular interest since its four elements preserve symmetry,...

Multivariate copulas: Transformations, symmetry, order and measures of concordance

Sebastian Fuchs (2014)

Kybernetika

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The present paper introduces a group of transformations on the collection of all multivariate copulas. The group contains a subgroup which is of particular interest since its elements preserve symmetry, the concordance order between two copulas and the value of every measure of concordance.