Characterization of all copulas associated with non-continuous random variables

被引：43
|
作者：
de Amo, E. [1 ]
Diaz Carrillo, M. [2 ]
Fernandez-Sanchez, J. [1 ]
机构：
[1] Univ Almeria, Almeria 04120, Spain
[2] Univ Granada, E-18071 Granada, Spain
来源：
FUZZY SETS AND SYSTEMS | 2012年 / 191卷
关键词：
Copula; Subcopula;
D O I：
10.1016/j.fss.2011.10.005
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
We introduce a constructive method, by means of a doubly stochastic measure, to describe all the copulas that, in view of Sklar's Theorem, are able to connect a bivariate distribution to its marginals. We use this to give the lower and upper optimal bounds for all the copulas that extend a given subcopula. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：103 / 112
页数：10
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