Idempotent copulae have been characterised, in an implicit form, in \cite{Sem02}; here we look at a few well known classes of copulas, namely, Fréchet copulas, ordinal sums, Archimedean copulas, copulas of the type $C(u,v)=uv\pm f(u)\,g(v)$ and a special subset of copulas represented through measure-preserving transformations, and characterise those among these classes that are idempotent.
Idempotent copulæ: Ordinal sums and Archimedean copulæ
ALBANESE, Angela AnnaMembro del Collaboration Group
;SEMPI, Carlo
2016-01-01
Abstract
Idempotent copulae have been characterised, in an implicit form, in \cite{Sem02}; here we look at a few well known classes of copulas, namely, Fréchet copulas, ordinal sums, Archimedean copulas, copulas of the type $C(u,v)=uv\pm f(u)\,g(v)$ and a special subset of copulas represented through measure-preserving transformations, and characterise those among these classes that are idempotent.File in questo prodotto:
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