On comprehensive families of copulas involving the three basic copulas and transformations thereof

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F24%3AA25038KX" target="_blank" >RIV/61988987:17610/24:A25038KX - isvavai.cz</a>

Výsledek na webu

<a href="https://www.degruyter.com/document/doi/10.1515/demo-2024-0007/html" target="_blank" >https://www.degruyter.com/document/doi/10.1515/demo-2024-0007/html</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1515/demo-2024-0007" target="_blank" >10.1515/demo-2024-0007</a>

Jazyk výsledku

angličtina

Název v původním jazyce

On comprehensive families of copulas involving the three basic copulas and transformations thereof

Popis výsledku v původním jazyce

Comprehensive families of copulas including the three basic copulas (at least as limit cases) are useful tools to model countermonotonicity, independence and comonotonicity of pairs of random variables on the same probability space. In this contribution we study how the transition from a (basic) copula to a copula modeling a different dependence behavior can be realized by means of ordinal sums based on one of the three basic copulas, perturbing one of the three basic copulas (considering some appropriate parameterized transformations) and truncating the results using the Fréchet-Hoeffding bounds. We provide results and examples showing the flexibility and the restrictions for obtaining new copulas or comprehensive families and illustrate the development of their dependence parameters.

Název v anglickém jazyce

On comprehensive families of copulas involving the three basic copulas and transformations thereof

Popis výsledku anglicky

Comprehensive families of copulas including the three basic copulas (at least as limit cases) are useful tools to model countermonotonicity, independence and comonotonicity of pairs of random variables on the same probability space. In this contribution we study how the transition from a (basic) copula to a copula modeling a different dependence behavior can be realized by means of ordinal sums based on one of the three basic copulas, perturbing one of the three basic copulas (considering some appropriate parameterized transformations) and truncating the results using the Fréchet-Hoeffding bounds. We provide results and examples showing the flexibility and the restrictions for obtaining new copulas or comprehensive families and illustrate the development of their dependence parameters.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2024

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

2300-2298

Svazek periodika

—

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

PL - Polská republika

Počet stran výsledku

10

Strana od-do

334-343

Kód UT WoS článku

001349374600001

EID výsledku v databázi Scopus

2-s2.0-85209408867