The impact on the properties of the EFGM copulas when extending this family

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F21%3A00545164" target="_blank" >RIV/67985556:_____/21:00545164 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0165011420304176?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0165011420304176?via%3Dihub</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.fss.2020.11.001" target="_blank" >10.1016/j.fss.2020.11.001</a>

Jazyk výsledku

angličtina

Název v původním jazyce

The impact on the properties of the EFGM copulas when extending this family

Popis výsledku v původním jazyce

Several extensions of the family of (bivariate) Eyraud-Farlie-Gumbel-Morgenstern copulas (EFGM copulas) are considered. Some of them are well-known from the literature, others have recently been suggested (copulas based on quadratic constructions, based on some forms of convexity, and polynomial copulas). For each of these extensions we analyze which properties of EFGM copulas are preserved (or even improved) and which are (partly) lost. Such properties can be structural (order theoretical or topological) in nature, or algebraic (symmetry or being a polynomial) or analytic (absolute continuity). Other examples are forms of convexity, quadrant dependence, and symmetry with respect to copula transformations. The last group of properties considered here is related to some dependence parameters.

Název v anglickém jazyce

The impact on the properties of the EFGM copulas when extending this family

Popis výsledku anglicky

Several extensions of the family of (bivariate) Eyraud-Farlie-Gumbel-Morgenstern copulas (EFGM copulas) are considered. Some of them are well-known from the literature, others have recently been suggested (copulas based on quadratic constructions, based on some forms of convexity, and polynomial copulas). For each of these extensions we analyze which properties of EFGM copulas are preserved (or even improved) and which are (partly) lost. Such properties can be structural (order theoretical or topological) in nature, or algebraic (symmetry or being a polynomial) or analytic (absolute continuity). Other examples are forms of convexity, quadrant dependence, and symmetry with respect to copula transformations. The last group of properties considered here is related to some 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

2021

Kód důvěrnosti údajů

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

Název periodika

Fuzzy Sets and Systems

ISSN

0165-0114

e-ISSN

1872-6801

Svazek periodika

415

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

26

Strana od-do

1-26

Kód UT WoS článku

000647690300001

EID výsledku v databázi Scopus

2-s2.0-85097102920