Multivariate copulas with given values at two arbitrary points

Klement, Erich Peter (author), Kokol-Bukovšek, Damjana (author), Omladič, Matjaž (author), Saminger, Susanne (author), Stopar, Nik (author)

Copulas are functions that link an n-dimensional distribution function with its one-dimensional margins. In this contribution we show how n-variate copulas with given values at two arbitrary points can be constructed. Thereby, we also answer a so far open question whether lower and upper bounds for n-variate copulas with given value at a single arbitrary point are achieved. We also introduce and discuss the concept of an F-copula which is needed for proving our results.

• Language: English
• Keywords: mathematics, mathematical analysis, mathematical methods, copula, quasi-copula, multivariate distribution, bounds
• Work type: Article
• Typology: 1.01 - Original Scientific Article
• Organization: EF - School of Economics and Business; FE - Faculty of Electrical Engineering
• Publication status: Published
• Publication version: Version of Record
• Year: 2022
• PID: 20.500.12556/RUL-143807
• UDC: 51
• ISSN on article: 0932-5026
• DOI: 10.1007/s00362-022-01362-4
• COBISS.SI-ID: 127822851
• Publication date in RUL: 12.01.2023

Record is a part of a journal

• Title: Statistical papers
• Shortened title: Stat. pap.
• Publisher: Springer
• ISSN: 0932-5026
• COBISS.SI-ID: 512571161

Licences

• License: CC BY 4.0, Creative Commons Attribution 4.0 International
• Link: http://creativecommons.org/licenses/by/4.0/
• Description: This is the standard Creative Commons license that gives others maximum freedom to do what they want with the work as long as they credit the author.

Secondary language

• Language: Slovenian
• Keywords: matematika, matematična analiza, matematične metode