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. A simple construction method for copulas is also given.
Different types of convexity and concavity for copulas
DURANTE, FABRIZIO;SEMPI, Carlo
2007-01-01
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. A simple construction method for copulas is also given.File in questo prodotto:
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