Displaying similar documents to “On the connection between cherry-tree copulas and truncated R-vine copulas”

Properties of the induced semigroup of an Archimedean copula

Włodzimierz Wysocki (2004)

Applicationes Mathematicae

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It is shown that to every Archimedean copula H there corresponds a one-parameter semigroup of transformations of the interval [0,1]. If the elements of the semigroup are diffeomorphisms, then it determines a special function v H called the vector generator. Its knowledge permits finding a pseudoinverse y = h(x) of the additive generator of the Archimedean copula H by solving the differential equation d y / d x = v H ( y ) / x with initial condition ( d h / d x ) ( 0 ) = - 1 . Weak convergence of Archimedean copulas is characterized in...

Characterizations of Archimedean n -copulas

Włodzimierz Wysocki (2015)

Kybernetika

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We present three characterizations of n -dimensional Archimedean copulas: algebraic, differential and diagonal. The first is due to Jouini and Clemen. We formulate it in a more general form, in terms of an n -variable operation derived from a binary operation. The second characterization is in terms of first order partial derivatives of the copula. The last characterization uses diagonal generators, which are “regular” diagonal sections of copulas, enabling one to recover the copulas by...

Asymmetric semilinear copulas

Bernard De Baets, Hans De Meyer, Radko Mesiar (2007)

Kybernetika

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We complement the recently introduced classes of lower and upper semilinear copulas by two new classes, called vertical and horizontal semilinear copulas, and characterize the corresponding class of diagonals. The new copulas are in essence asymmetric, with maximum asymmetry given by 1 / 16 . The only symmetric members turn out to be also lower and upper semilinear copulas, namely convex sums of Π and M .

Associative n -dimensional copulas

Andrea Stupňanová, Anna Kolesárová (2011)

Kybernetika

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The associativity of n -dimensional copulas in the sense of Post is studied. These copulas are shown to be just n -ary extensions of associative 2-dimensional copulas with special constraints, thus they solve an open problem of R. Mesiar posed during the International Conference FSTA 2010 in Liptovský Ján, Slovakia.

Closure for spanning trees and distant area

Jun Fujisawa, Akira Saito, Ingo Schiermeyer (2011)

Discussiones Mathematicae Graph Theory

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A k-ended tree is a tree with at most k endvertices. Broersma and Tuinstra [3] have proved that for k ≥ 2 and for a pair of nonadjacent vertices u, v in a graph G of order n with d e g G u + d e g G v ≥ n - 1 , G has a spanning k-ended tree if and only if G+uv has a spanning k-ended tree. The distant area for u and v is the subgraph induced by the set of vertices that are not adjacent with u or v. We investigate the relationship between the condition on d e g G u + d e g G v and the structure of the distant area for u and v. We prove...

On univariate and bivariate aging for dependent lifetimes with Archimedean survival copulas

Franco Pellerey (2008)

Kybernetika

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Let 𝐗 = ( X , Y ) be a pair of exchangeable lifetimes whose dependence structure is described by an Archimedean survival copula, and let 𝐗 t = [ ( X - t , Y - t ) | X > t , Y > t ] denotes the corresponding pair of residual lifetimes after time t , with t ≥ 0 . This note deals with stochastic comparisons between 𝐗 and 𝐗 t : we provide sufficient conditions for their comparison in usual stochastic and lower orthant orders. Some of the results and examples presented here are quite unexpected, since they show that there is not a direct correspondence...

My introduction to copulas

Fabrizio Durante, Giovanni Puccetti, Matthias Scherer, Steven Vanduffel (2017)

Dependence Modeling

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