Construction of multivariate copulas in $n$-boxes

José M. González-Barrios; María M. Hernández-Cedillo

Displaying similar documents to “Construction of multivariate copulas in $n$ -boxes”

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.

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...

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 $m \in ℕ$ , $2 \leq m < n$ , all their $m$ -dimensional margins are equal to the independence copula. Such an investigation originated from an open problem posed by Schweizer and Sklar.