Warianty tytułu
Języki publikacji
Abstrakty
In this paper, we present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposed this approach for two dimensions and stated the generalization to arbitrary dimensons as an open problem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensional case. Furthermore, we provide convergence statements and, as applications, we consider three dimensional dependence measures as well as an example from finance.
Słowa kluczowe
Wydawca
Czasopismo
Rocznik
Tom
Numer
Opis fizyczny
Daty
otrzymano
2016-06-27
zaakceptowano
2016-11-02
online
2016-12-05
Twórcy
autor
- Graz University of Technology, Institute of Analysis and Number Theory, Kopernikusgasse 24/II, 8010 Graz
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_demo-2016-0016