Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
It is shown that to every Archimedean copula H there corresponds a one-parameter semigroup of transformations of the interval [0,1]. If the elements of the semigroup are diffeomorphisms, then it determines a special function $v_{H}$ called the vector generator. Its knowledge permits finding a pseudoinverse y = h(x) of the additive generator of the Archimedean copula H by solving the differential equation $dy/dx = v_{H}(y)/x$ with initial condition $(dh/dx)(0) = -1$. Weak convergence of Archimedean copulas is characterized in terms of vector generators. A new characterization of Archimedean copulas is also given by using the notion of a projection of a copula.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
161-174
Opis fizyczny
Daty
wydano
2004
Twórcy
autor
- Institute of Foundations of Computer Science, Polish Academy of Sciences, Ordona 21, 01-237 Warszawa, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
DOI
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-am31-2-3