Are copulas unimodal?

Ioan Cuculescu and Radu Theodorescu

Journal of Multivariate Analysis, 2003, vol. 86, issue 1, 48-71

Abstract: Three types of unimodality (central convex, block, and star) are considered and the corresponding sets of unimodal copulas determined. Examples of star unimodal copulas, absolutely continuous, with a nonnull singular part, and even singular, are given. Necessary and sufficient conditions for a diagonal to be the diagonal section of a star unimodal copula are also indicated. Attention is also paid to the Archimedean case.

Keywords: Archimedean; copula; Block; unimodality; Central; convex; unimodality; Copula; Diagonal; section; Frechet; copula; Star; unimodality (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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