Absolutely continuous copulas obtained by regularization of the Frech\'{e}t--Hoeffding bounds

Autor:	Björnham, Oscar, Brännström, Niklas, Persson, Leif
Rok vydání:	2016
Předmět:	Mathematics - Probability 60E05
Druh dokumentu:	Working Paper
Popis:	We show that the lower and upper Frech\'{e}t-Hoeffding copulas, which are singular, can be regularized to absolutely continuous copulas. The method, which is constructive and explicit, states sufficient conditions for when an absolutely continuous copula can be achieved by averaging. A higher degree of regularisation cannot be achieved with the proposed method. Comment: 12 pages, 1 figure
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1603.03693 Zobrazit plný text záznamu View this record from Arxiv