We characterize the class of copulas that can be constructed from the diagonal section by means of the functional equation C(x, y) + |x − y| = C(x ∨ y, x ∨ y), for all (x, y) in the unit square such that C(x, y) > 0. Some statistical properties of this class are given.
On a family of copulas constructed from the diagonal section
DURANTE, FABRIZIO;SEMPI, Carlo
2006-01-01
Abstract
We characterize the class of copulas that can be constructed from the diagonal section by means of the functional equation C(x, y) + |x − y| = C(x ∨ y, x ∨ y), for all (x, y) in the unit square such that C(x, y) > 0. Some statistical properties of this class are given.File in questo prodotto:
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