Geometry of discrete copulas

Elisa Perrone, Liam Solus and Caroline Uhler

Journal of Multivariate Analysis, 2019, vol. 172, issue C, 162-179

Abstract: The space of discrete copulas admits a representation as a convex polytope, and this has been exploited in entropy-copula methods used in hydrology and climatology. In this paper, we focus on the class of component-wise convex copulas, i.e., ultramodular copulas, which describe the joint behavior of stochastically decreasing random vectors. We show that the family of ultramodular discrete copulas and its generalization to component-wise convex discrete quasi-copulas also admit representations as polytopes. In doing so, we draw connections to the Birkhoff polytope, the alternating sign matrix polytope, and their generalizations, thereby unifying and extending results on these polytopes from both the statistics and the discrete geometry literature.

Keywords: Discrete (quasi-) copulas; Negative dependence; Stochastic decreasingness; Maximum entropy; Convex optimization; Transportation polytope; Alternating sign matrix polytope (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2019.01.014

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