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Compositions of Copulas and Quasi-Copulas
2004The object of the research here reported is the study of compositions of copulas, quasi-copulas and semicopulas by means of a two-place real function. Specifically, let A, B and O be mappings from [0, 1]2 into [0, 1], we characterize the properties of O which ensure O(A,B) is in the same class of A and B.
DURANTE, FABRIZIO, SEMPI, Carlo
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Computational Statistics & Data Analysis, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rodríguez, Carlos E. +1 more
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rodríguez, Carlos E. +1 more
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2016
Copulas have become a very frequently used method of creating models and examining the structure between the statistical causality and interdependence between two or more variables. The purpose of this Master s Thesis is to present the theoretical basis of the copulas, explain the main statistical concepts that are related to them and present the ...
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Copulas have become a very frequently used method of creating models and examining the structure between the statistical causality and interdependence between two or more variables. The purpose of this Master s Thesis is to present the theoretical basis of the copulas, explain the main statistical concepts that are related to them and present the ...
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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 ...
Erich Peter Klement +2 more
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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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