New results on perturbation-based copulas

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F21%3AA2402MEK" target="_blank" >RIV/61988987:17610/21:A2402MEK - isvavai.cz</a>
Result on the web
<a href="https://www.degruyter.com/document/doi/10.1515/demo-2021-0116/html" target="_blank" >https://www.degruyter.com/document/doi/10.1515/demo-2021-0116/html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/demo-2021-0116" target="_blank" >10.1515/demo-2021-0116</a>

Result language
angličtina
Original language name
New results on perturbation-based copulas
Original language description
A prominent example of a perturbation of the bivariate product copula (which characterizes stochastic independence) is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled. We introduce and discuss several perturbations, some of them perturbing the product copula, while others perturb general copulas. A particularly interesting case is the perturbation of the product based on two functions in one variable where we highlight several special phenomena, e.g., extremal perturbed copulas. The constructions of the perturbations in this paper include three different types of ordinal sums as well as flippings and the survival copula. Some particular relationships to the Markov product and several dependence parameters for the perturbed copulas considered here are also given.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10101 - Pure mathematics

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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