New results on perturbation-based copulas

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

New results on perturbation-based copulas

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

New results on perturbation-based copulas

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10101 - Pure mathematics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Dependence Modeling

ISSN

2300-2298

e-ISSN

—

Svazek periodika

—

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

PL - Polská republika

Počet stran výsledku

27

Strana od-do

347-373

Kód UT WoS článku

000721822700001

EID výsledku v databázi Scopus

2-s2.0-85119477489