Exact upper bound for copulas with a given diagonal section

Kokol-Bukovšek, Damjana (author), Mojškerc, Blaž (author), Stopar, Nik (author)

We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas with a given diagonal section and construct a copula that attains it. We derive a formula for the maximal asymmetry that is simple enough to be used by practitioners.

• Language: English
• Keywords: mathematical statistics, mathematical analysis, mathematical methods, copula, diagonal section, exact upper bound, asymmetry
• Work type: Article
• Typology: 1.01 - Original Scientific Article
• Organization: EF - School of Economics and Business; FGG - Faculty of Civil and Geodetic Engineering
• Publication status: Published
• Publication version: Version of Record
• Year: 2024
• Number of pages: 19 str.
• Numbering: Vol. 480, art. 108865
• PID: 20.500.12556/RUL-156202
• UDC: 519.2
• ISSN on article: 0165-0114
• DOI: 10.1016/j.fss.2024.108865
• COBISS.SI-ID: 181661955
• Publication date in RUL: 14.05.2024

Record is a part of a journal

• Title: Fuzzy sets and systems
• Shortened title: Fuzzy sets syst.
• Publisher: Elsevier
• ISSN: 0165-0114
• COBISS.SI-ID: 25498624

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: matematična statistika, matematična analiza, matematične metode

Projects

• Funder: ARIS - Slovenian Research and Innovation Agency
• Project number: P1-0222
• Name: Algebra, teorija operatorjev in finančna matematika