| Title: | Exact upper bound for copulas with a given diagonal section |
|---|
| Authors: | ID Kokol-Bukovšek, Damjana (Author)
ID Mojškerc, Blaž (Author)
ID Stopar, Nik (Author) |
|---|
| Files: |  PDF - Presentation file, download (1,97 MB)
MD5: 249FE88FDEBBC1B30C1B18E2B7DF4DB9
 URL - Source URL, visit https://www.sciencedirect.com/science/article/pii/S0165011424000113
|
|---|
| Language: | English |
|---|
| Typology: | 1.01 - Original Scientific Article |
|---|
| Organization: |  IMFM - Institute of Mathematics, Physics, and Mechanics
|
|---|
| Abstract: | We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas with a given diagonal section and construct a copula that attains it. We derive a formula for the maximal asymmetry that is simple enough to be used by practitioners. |
|---|
| Keywords: | mathematical statistics, mathematical analysis, mathematical methods |
|---|
| Publication status: | Published |
|---|
| Publication version: | Version of Record |
|---|
| Publication date: | 01.03.2024 |
|---|
| Year of publishing: | 2024 |
|---|
| Number of pages: | 19 str. |
|---|
| Numbering: | Vol. 480, article no. ǂ108865 |
|---|
| PID: | 20.500.12556/DiRROS-20504  |
|---|
| UDC: | 519.2 |
|---|
| ISSN on article: | 0165-0114 |
|---|
| DOI: | 10.1016/j.fss.2024.108865 |
|---|
| COBISS.SI-ID: | 181661955 |
|---|
| Publication date in DiRROS: | 02.10.2024 |
|---|
| Views: | 734 |
|---|
| Downloads: | 672 |
|---|
| Metadata: |    |
|---|
|
:
|
Copy citation |
|---|
| | | | Share: |  |
|---|
Hover the mouse pointer over a document title to show the abstract or click
on the title to get all document metadata. |
