Patched approximations and their convergence

Nattakarn Chaidee, Tippawan Santiwipanont and Songkiat Sumetkijakan

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 9, 2654-2664

Abstract: Patched approximations of copulas unify ordinal sums, shuffles of Min, checkerboard, and checkmin approximations. We give a characterization of patched approximations and an error bound of the approximations in Sobolev norm. Patched approximations with uniform marginal conditional distributions are shown to arise naturally. We prove that these uniform patched approximations converge uniformly and in the Sobolev norm. The latter convergence is settled by showing the convergence almost everywhere of the first partial derivatives. We also show that the independence copula can be approximated by conditional mutual complete copulas in the Sobolev norm.

Date: 2016
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DOI: 10.1080/03610926.2014.887112

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