On the relationship between modular functions and copulas

Autor: Radko Mesiar, H. De Meyer, B. De Baets, Jana Kalická
Rok vydání: 2015
Předmět:
Zdroj: Fuzzy Sets and Systems. 268:110-126
ISSN: 0165-0114
DOI: 10.1016/j.fss.2014.07.024
Popis: Copulas are nothing else but supermodular functions with absorbing element 0 and neutral element 1. Although a copula C cannot be modular on the unit square itself, it is effectively so on every rectangle with zero C-volume. In this paper, we show that an appropriate modular function on the unit square can be transformed into a copula by performing a simple truncation operation (either from below or above to ensure the compatibility with the Frechet-Hoeffding bounds). Modular functions on the unit square admit an additive representation in terms of two univariate functions. We specifically focus on cases where these univariate functions are sections (horizontal, vertical, diagonal) of a given copula. Ample illustrations are provided.
Databáze: OpenAIRE