Fabrizio Durante, Juan Fernández-Sánchez, Wolfgang Trutschnig (2014)
Dependence Modeling
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We solve a recent open problem about a new transformation mapping the set of copulas into itself. The obtained mapping is characterized in algebraic terms and some limit results are proved.
Ali Dolati, Manuel Úbeda-Flores (2009)
Kybernetika
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In this paper, we introduce two transformations on a given copula to construct new and recover already-existent families. The method is based on the choice of pairs of order statistics of the marginal distributions. Properties of such transformations and their effects on the dependence and symmetry structure of a copula are studied.
Erich Peter Klement, Radko Mesiar, Endre Pap (2002)
Kybernetika
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Fabrizio Durante, Radko Mesiar, Carlo Sempi (2008)
Kybernetika
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Fabrizio Durante, Pier Luigi Papini (2009)
Kybernetika
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The class of componentwise concave copulas is considered, with particular emphasis on its closure under some constructions of copulas (e.g., ordinal sum) and its relations with other classes of copulas characterized by some notions of concavity and/or convexity. Then, a sharp upper bound is given for the -measure of non-exchangeability for copulas belonging to this class.
Fabrizio Durante, Juan Fernández-Sánchez (2011)
Kybernetika
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We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Fréchet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.