In analogy with the study of copulas whose diagonal sections have been fixed, we study the set $\mathcal{C}_h$ of copulas for which a horizontal section $h$ has been given. We first show that this set is not empty, by explicitly writing one such copula, which we call \textit{horizontal copula}. Then we find the copulas that bound both below and above the set $\mathcal{C}_h$. Finally we determine the expressions for Kendall's tau and Spearman's rho for the horizontal and the bounding copulas.

Copulas constructed from horizontal sections

SEMPI, Carlo
2007

Abstract

In analogy with the study of copulas whose diagonal sections have been fixed, we study the set $\mathcal{C}_h$ of copulas for which a horizontal section $h$ has been given. We first show that this set is not empty, by explicitly writing one such copula, which we call \textit{horizontal copula}. Then we find the copulas that bound both below and above the set $\mathcal{C}_h$. Finally we determine the expressions for Kendall's tau and Spearman's rho for the horizontal and the bounding copulas.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11587/103211
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