A look at copulas in a curved mirror

Bernard De Baets () and Hans De Meyer ()
Additional contact information
Bernard De Baets: Ghent University, KERMIT, Department of Mathematical Modelling, Statistics and Bioinformatics
Hans De Meyer: Ghent University, Department of Applied Mathematics, Computer Science and Statistics

Chapter Chapter 3 in Copulas and Dependence Models with Applications, 2017, pp 33-47 from Springer

Abstract: Abstract We extend the seminal work of Roger Nelsen on symmetry-related properties and the degree of asymmetry of copulas, by reattributing the role the diagonal plays as axis of symmetry to a continuous strictly increasing curve in the unit square. First, we make explicit the geometrical notion of symmetry of a function on the unit square with respect to a curve. Next, we provide a measure for quantifying to what extent a quasi-copula or copula can be regarded asymmetric with respect to a given curve. Finally, we derive a lower and upper bound on the degree of asymmetry a quasi-copula can possess with respect to a given curve and show that each bound is sharp within the class of copulas.

Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-64221-5_3

Ordering information: This item can be ordered from
http://www.springer.com/9783319642215

DOI: 10.1007/978-3-319-64221-5_3

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().