Czasopismo
Tytuł artykułu
Warianty tytułu
Języki publikacji
Abstrakty
We solve a recent open problem about a new transformation mapping the set of copulas into itself. The obtained mapping is characterized in algebraic terms and some limit results are proved.
Słowa kluczowe
Kategorie tematyczne
Wydawca
Czasopismo
Rocznik
Tom
Numer
Opis fizyczny
Daty
otrzymano
2014-09-12
zaakceptowano
2014-10-29
online
2014-11-10
Twórcy
autor
-
Faculty of Economics and Management, Free University of Bozen-Bolzano, I-
39100 Bolzano, Italy
autor
-
Grupo de Investigación de Análisis Matemático, Universidad de Almería, La Cañada de San Urbano,
Almería, Spain
autor
- Department for Mathematics, University of Salzburg, Salzburg, Austria
Bibliografia
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- [2] C. Bernard, X. Jiang, and S. Vanduffel. A note on “Improved Fréchet bounds and model-free pricing of multi-asset options”by Tankov (2011). J. Appl. Probab., 49(3):866–875, 2012.
- [3] B. De Baets, H. De Meyer, J. Kalická, and R. Mesiar. Flipping and cyclic shifting of binary aggregation functions. Fuzzy SetsSyst., 160(6):752–765, 2009.
- [4] E. Di Bernardino and D. Rullière. On certain transformations of Archimedean copulas: Application to the non-parametricestimation of their generators. Dependence Modeling, 1:1–36, 2013.
- [5] A. Dolati and M. Úbeda-Flores. Constructing copulas by means of pairs of order statistics. Kybernetika (Prague), 45(6):992–1002, 2009.
- [6] F. Durante. A new class of symmetric bivariate copulas. J. Nonparametr. Stat., 18(7-8):499–510, (2007), 2006.
- [7] F. Durante, J. Fernández-Sánchez, and R. Pappadà. Copulas, diagonals and tail dependence. Fuzzy Sets Syst., in press, 2015.
- [8] F. Durante, J. Fernández-Sánchez, and C. Sempi. Multivariate patchwork copulas: a unified approach with applications topartial comonotonicity. Insurance Math. Econom., 53:897–905, 2013.
- [9] F. Durante, R. Foschi, and P. Sarkoci. Distorted copulas: constructions and tail dependence. Comm. Statist. Theory Methods,39(12):2288–2301, 2010.
- [10] F. Durante, A. Kolesárová, R. Mesiar, and C. Sempi. Semilinear copulas. Fuzzy Sets Syst., 159(1):63–76, 2008.
- [11] C. Genest, J. J. Quesada-Molina, J. A. Rodríguez-Lallena, and C. Sempi. A characterization of quasi-copulas. J. MultivariateAnal., 69(2):193–205, 1999.
- [12] E. P. Klement, R. Mesiar, and E. Pap. Transformations of copulas. Kybernetika (Prague), 41(4):425–434, 2005.
- [13] A. Kolesárová and R. Mesiar. On linear and quadratic constructions of aggregation functions. Fuzzy Sets Syst., in press,2015.
- [14] A. Kolesárová, R. Mesiar, and J. Kalická. On a new construction of 1–Lipschitz aggregation functions, quasi–copulas andcopulas. Fuzzy Sets Syst., 226:19–31, 2013.
- [15] R. Mesiar and A. Stupnanová. Open problems from the 12th International Conference on Fuzzy Sets Theory and Its Applications.Fuzzy Sets Syst., in press, 2015.
- [16] F. Michiels and A. De Schepper. How to improve the fit of Archimedean copulas by means of transforms. Statist. Papers,53(2):345–355, 2012.
- [17] P. Mikusinski and M. D. Taylor. Some approximations of n-copulas. Metrika, 72(3):385–414, 2010.
- [18] P. M. Morillas. A method to obtain new copulas from a given one. Metrika, 61(2):169–184, 2005.
- [19] R. B. Nelsen. An introduction to copulas. Springer Series in Statistics. Springer, New York, second edition, 2006.
- [20] R. B. Nelsen and M. Úbeda-Flores. The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas. C. R.Math.Acad. Sci. Paris, 341(9):583–586, 2005.
- [21] P. Tankov. Improved Fréchet bounds and model-free pricing of multi-asset options. J. Appl. Probab., 48(2):389–403, 2011.
- [22] E. A. Valdez and Y. Xiao. On the distortion of a copula and its margins. Scand. Actuar. J., 4:292–317, 2011.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_2478_demo-2014-0005