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Multivariate copulas with given values at two arbitrary points

Authors :
Damjana Kokol Bukovšek
Erich Peter Klement
Susanne Saminger-Platz
Nik Stopar
Matjaž Omladič
Source :
Statistical papers, 2022.
Publication Year :
2023
Publisher :
Springer, 2023.

Abstract

Copulas are functions that link an n-dimensional distribution function with its one-dimensional margins. In this contribution we show how n-variate copulas with given values at two arbitrary points can be constructed. Thereby, we also answer a so far open question whether lower and upper bounds for n-variate copulas with given value at a single arbitrary point are achieved. We also introduce and discuss the concept of an $$\mathbf{F}$$ F -copula which is needed for proving our results.

Details

Language :
English
ISSN :
09325026
Database :
OpenAIRE
Journal :
Statistical papers, 2022.
Accession number :
edsair.doi.dedup.....f6ca64ebe5c7b311583393a8617ff8f9