A family of copulas, called semilinear, is constructed starting with some assumptions about the linearity of the copulas along some segments of the unit square. This family contains some other known families of copulas (e.g., Cuadras--Aug\'e, Fr\'echet) and has a nice statistical interpretation. Several construction methods are provided, especially concerning aggregation of semilinear copulas, and a special form of ordinal sum construction is introduced. Some results about related families of quasi--copulas and semi--copulas are hence given.
Semilinear copulas
DURANTE, FABRIZIO;SEMPI, Carlo
2008-01-01
Abstract
A family of copulas, called semilinear, is constructed starting with some assumptions about the linearity of the copulas along some segments of the unit square. This family contains some other known families of copulas (e.g., Cuadras--Aug\'e, Fr\'echet) and has a nice statistical interpretation. Several construction methods are provided, especially concerning aggregation of semilinear copulas, and a special form of ordinal sum construction is introduced. Some results about related families of quasi--copulas and semi--copulas are hence given.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.