A connexion between conditional expectations and idempoten copulas is established. It is proved that there exists a one-to one correspondence between conditional expectations and copulas that are idempotent with respect to the binary operation introduced by Darsow, Nguyen and Olsen.
Conditional expectations and idempotent copulae
SEMPI, Carlo
2003-01-01
Abstract
A connexion between conditional expectations and idempoten copulas is established. It is proved that there exists a one-to one correspondence between conditional expectations and copulas that are idempotent with respect to the binary operation introduced by Darsow, Nguyen and Olsen.File in questo prodotto:
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