Spatially homogeneous copulas View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-12-01

AUTHORS

Fabrizio Durante, Juan Fernández Sánchez, Wolfgang Trutschnig

ABSTRACT

We consider spatially homogeneous copulas, i.e. copulas whose corresponding measure is invariant under a special transformations of [0,1]2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$[0,1]^2$$\end{document}, and we study their main properties with a view to possible use in stochastic models. Specifically, we express any spatially homogeneous copula in terms of a probability measure on [0, 1) via the Markov kernel representation. Moreover, we prove some symmetry properties and demonstrate how spatially homogeneous copulas can be used in order to construct copulas with surprisingly singular properties. Finally, a generalization of spatially homogeneous copulas to the so-called (m, n)-spatially homogeneous copulas is studied and a characterization of this new family of copulas in terms of the Markov ∗\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$*$$\end{document}-product is established. More... »

PAGES

607-626

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10463-018-0703-8

DOI

http://dx.doi.org/10.1007/s10463-018-0703-8

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1110332838


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