On the Construction of Families of Absolutely Continuous Copulas with Given Restrictions

Autor:	José M. González-Barrios, Arturo Erdely
Rok vydání:	2006
Předmět:	Statistics and Probability Discrete mathematics Lebesgue measure media_common.quotation_subject Copula (linguistics) Diagonal Statistics::Other Statistics Absolute continuity Asymmetry Statistics::Computation Statistics::Methodology Almost everywhere media_common Mathematics
Zdroj:	Communications in Statistics - Theory and Methods. 35:649-659
ISSN:	1532-415X 0361-0926
DOI:	10.1080/03610920500498758
Popis:	The problem of constructing copulas with a given diagonal section has been studied by Sungur and Yang (1996) and Fredricks and Nelsen (1997a); (b); (2002). The results of Sungur and Yang are especially relevant because, among other results, they have proven that an Archimedean copula is characterized by its diagonal section. The results obtained by Fredricks and Nelsen allow one to build a singular copula with a given a diagonal section. In all cases, the resulting copulas are symmetric. In this article, we provide a family of absolutely continuous copulas with a fixed diagonal, which can differ from another absolutely continuous copula almost everywhere with respect to Lebesgue measure. It is important to mention that the asymmetry in the proposed methodology is not an issue.
Databáze:	OpenAIRE
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