Affiliation:
1. Department of Mathematics, Institute of Mathematics, Banacha 2, University of Warsaw , Warszawa , Poland
Abstract
Abstract
A family of bivariate copulas given by: for
v
+
2
u
<
2
v+2u\lt 2
,
C
(
u
,
v
)
=
F
(
2
F
−
1
(
v
∕
2
)
+
F
−
1
(
u
)
)
C\left(u,v)=F\left(2{F}^{-1}\left(v/2)+{F}^{-1}\left(u))
, where
F
F
is a strictly increasing cumulative distribution function of a symmetric, continuous random variable, and for
v
+
2
u
≥
2
v+2u\ge 2
,
C
(
u
,
v
)
=
u
+
v
−
1
C\left(u,v)=u+v-1
, is introduced. The basic properties and necessary conditions for absolute continuity of
C
C
are discussed. Several examples are provided.
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference25 articles.
1. Adès, M., Dufour, M., Provost, S., Vachon, M.-C., & Zang, Y. (2022). A class of copulas associated with Brownian motion processes and their maxima. Journal of Applied Mathematics and Computation, 6(1), 96–120.
2. Charpentier, A., & Segers, J. (2009). Tails of multivariate Archimedean copulas. Journal of Multivariate Analysis, 100, 1521–1537.
3. Chavez-Demoulin, V., & Embrechts, P. (2011). An EVT primer for credit risk. In A. Lipton, & A. Rennie, (Eds.), The Oxford handbook of credit derivatives. Oxford UK: Oxford University Press.
4. Da̧browski, K., & Jaworski, P. (2021). On the dependence between a Wiener process and its running maxima and running minima processes. 2021, arXiv:2109.02024 [math.PR].
5. DiLascio, F. M. L., Durante, F., & Jaworski, P. (2016). Truncation invariant copulas and a testing procedure. Journal of Statistical Computation and Simulation, 86(12), 2362–2378.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献