Results 281 to 290 of about 87,023 (313)
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IEEE Transactions on Fuzzy Systems, 2006
We define discrete copulas on a grid of the unit square and show that with each discrete copula there is associated, in a natural way, a bistochastic matrix. This is used in order to introduce the product of discrete copulas. Discrete copulas of order n are the smallest convex set containing the irreducible discrete copulas of order n introduced by ...
KOLESAROVA A +3 more
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We define discrete copulas on a grid of the unit square and show that with each discrete copula there is associated, in a natural way, a bistochastic matrix. This is used in order to introduce the product of discrete copulas. Discrete copulas of order n are the smallest convex set containing the irreducible discrete copulas of order n introduced by ...
KOLESAROVA A +3 more
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Quasi-copulas and copulas on a discrete scale
Soft Computing, 2005In the paper the structure of quasi-copulas and copulas on a finite discrete scale is studied. The possibility of construction of quasi-copulas (copulas) from given values at diagonal points is investigated. Moreover, the problem of the uniqueness of the existence of a quasi–copula (copula) with given diagonal section is solved.
J. Mordelová, A. Kolesárová
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Transformations of Copulas and Quasi-Copulas
2004Transformations of aggregation operators preserving the class of copulas and quasi-copulas, respectively, are shown to be concave automorphisms of the unit interval. Attractors of copulas are discussed, special attention being paid to power transformations and the relationship between the corresponding attractors and the so-called maximum attractor ...
Radko Mesiar +2 more
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Fuzzy Sets and Systems, 2013
This paper focuses on exchangeable copulas: some necessary and sufficient conditions are provided, together with a characterization result, in differential form. A very flexible model capable to generate a wide range of exchangeable copulas is presented.
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This paper focuses on exchangeable copulas: some necessary and sufficient conditions are provided, together with a characterization result, in differential form. A very flexible model capable to generate a wide range of exchangeable copulas is presented.
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Copulae and Value at Risk [PDF]
, 2004 The capital requirement from financial institutions is based on the amount of risk carried in their portfolios.
Jürgen Franke +3 more
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Bernstein Copulas and Composite Bernstein Copulas
2020Copula functions have been widely used in econometrics, finance, statistics, and social science for modeling dependence. Reference [42] presented the Bernstein copulas for approximating copula functions. Inspired by the Bernstein copula put forward by [42], reference [48] introduced a new copula function, named as composite Bernstein copula.
Zongkai Xie, Jingping Yang, Fang Wang
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Fuzzy Sets and Systems, 2008
A family of copulas, called semilinear, is constructed starting with some assumptions about the linearity of the copulas along some segments of the unit square. This family contains some other known families of copulas (e.g., Cuadras-Auge, Frechet) and has a nice statistical interpretation.
DURANTE, FABRIZIO +3 more
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A family of copulas, called semilinear, is constructed starting with some assumptions about the linearity of the copulas along some segments of the unit square. This family contains some other known families of copulas (e.g., Cuadras-Auge, Frechet) and has a nice statistical interpretation.
DURANTE, FABRIZIO +3 more
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Annual Review of Economics, 2014
Copulas are functions that describe the dependence between two or more random variables. This article provides a brief review of copula theory and two areas of economics in which copulas have played important roles: multivariate modeling and partial identification of parameters that depend on the joint distribution of two random variables with fixed ...
Yanqin Fan, Andrew J. Patton
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Copulas are functions that describe the dependence between two or more random variables. This article provides a brief review of copula theory and two areas of economics in which copulas have played important roles: multivariate modeling and partial identification of parameters that depend on the joint distribution of two random variables with fixed ...
Yanqin Fan, Andrew J. Patton
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2011
Review of applications of copula techniques to finance, with special focus on dynamic consistency.
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Review of applications of copula techniques to finance, with special focus on dynamic consistency.
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