Copulas: compatibility and Fr\'echet classes

Fabrizio Durante, Erich Peter Klement, José Juan Quesada-Molina

Type: Preprint

Publication Date: 2007-11-15

Citations: 16

Abstract

We determine under which conditions three bivariate copulas are compatible, viz. they are the bivariate marginals of the same trivariate copula, and, then, construct the class of these copulas. In particular, the upper and lower bounds for this class of trivariate copulas are determined.

Locations

arXiv (Cornell University) - View - PDF
Institutional Repository of the University of Granada (University of Granada) - View - PDF

Similar Works

Action	Title	Year	Authors
+ PDF Chat	Bounds for Trivariate Copulas with Given Bivariate Marginals	2008	Fabrizio Durante Erich Peter Klement JoséJuan Quesada-Molina
+	A class of multivariate copulas based on products of bivariate copulas	2015	Gildas Mazo Stéphane Girard Florence Forbes
+	A Compendium of Copulas	2018	Saralees Nadarajah Emmanuel Afuecheta Stephen Chan
+	Copulas and Their Properties	2019	Lan Zhang Vijay P. Singh
+	A Comprehensive Review of Copulas in Multivariate Dependency Modeling	2024	Miquel Noguer I Alonso
+	Copulas and Copula Models	2014	Christian Genest Johanna Nešlehová
+	Copulas and Copula Models	2012	Christian Genest Johanna Nešlehová
+ PDF Chat	The Bivariate Normal Copula	2013	Christian Meyer
+	A class of bivariate independence copula transformations	2021	Martynas Manstavičius Gediminas Bagdonas
+	Tests of Multivariate Independence Based on Copula	2012	Joanna Tomanek
+	Constructions of Multivariate Copulas	2017	Xiaonan Zhu Tonghui Wang Varith Pipitpojanakarn
+	Pair-Copula Constructions of Multivariate Copulas	2010	Claudia Czado
+ PDF Chat	Construction of a bivariate copula by Rüschendorf’s method	2021	Mehmet Yılmaz Muhammet Bekçi
+	A new class of bivariate copulas	2003	José Antonio Rodrı́guez-Lallena
+	Classes and Families	2018	Marius Hofert Ivan Kojadinovic Martin Mächler Jun Yan
+	Bivariate Copula Classes, Their Visualization, and Estimation	2019	Claudia Czado
+	The Bivariate Normal Copula	2009	Christian Meyer
+ PDF Chat	A recipe for bivariate copulas	2016	Eric S. Key
+	Bivariate Analysis Via Copulas	2007	Gianfausto Salvadori Carlo De Michele Nathabandu T. Kottegoda R. Rosso
+	Concordance and Copulas: A Survey	2002	Roger B. Nelsen

Works That Cite This (6)

Action	Title	Year	Authors
+	On a Generalized $*$-Product for Copulas	2012	Pongpol Ruankong Songkiat Sumetkijakan
+	New transformations of aggregation functions based on monotone systems of functions	2019	LeSheng Jin Radko Mesiar Martin Kalina Jana Špirková Surajit Borkotokey
+ PDF Chat	Conjunction of Conditional Events and t-Norms	2019	Angelo Gilio Giuseppe Sanfilippo
+ PDF Chat	A Markov product for tail dependence functions	2021	Karl Friedrich Siburg Christopher Strothmann
+	Copulas: A tool for modeling the dependence structure of random vectors	2008	Radko Mesiar
+	Copulas: an Approach How to Model the Dependence Structure of Random Vectors	2009	Radko Mesiar Magda Komorníková

Works Cited by This (8)

Action	Title	Year	Authors
+	Probabilistic Metric Spaces	1983	B. Schweizer A. Sklar
+ PDF Chat	Bounds for distributions with multivariate marginals	1991	Ludger Rüschendorf
+	Comparison of multivariate risks and positive dependence	2004	Ludger Rüschendorf
+ PDF Chat	Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters	1996	Harry Joe
+ PDF Chat	Pair-copula constructions of multiple dependence	2007	Kjersti Aas Claudia Czado Arnoldo Frigessi Henrik Bakken
+	Vines--a new graphical model for dependent random variables	2002	Tim Bedford Roger Cooke
+	An Introduction to Copulas	1999	Roger B. Nelsen
+	Remarks on Two Product-like Constructions for Copulas	2007	Fabrizio Durante Erich Peter Klement José Juan Quesada-Molina Peter Sarkoci