We study the relationship between copulas and measure-preserving transformations on the Borel sets of the u it interval. This also allows to investigate the connection with a restricted compatibility problem for copulas. To this end, in order to construct a 3-copula from two given 2-copulas A and B, we modify the *-operation introduced by Darsow et al., show that A*B is always compatible with A and B, and study the set D(A,B) of all copulas comaptible with A and B
Measure-preserving transformations, copulae and compatibility
SEMPI, Carlo;
2008-01-01
Abstract
We study the relationship between copulas and measure-preserving transformations on the Borel sets of the u it interval. This also allows to investigate the connection with a restricted compatibility problem for copulas. To this end, in order to construct a 3-copula from two given 2-copulas A and B, we modify the *-operation introduced by Darsow et al., show that A*B is always compatible with A and B, and study the set D(A,B) of all copulas comaptible with A and BFile in questo prodotto:
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