Multivariate shuffles and approximation of copulas

Fabrizio Durante and Juan Fernández-Sánchez

Statistics & Probability Letters, 2010, vol. 80, issue 23-24, 1827-1834

Abstract: We present and study a method for constructing multivariate copulas, which includes both the shuffles of Min and the ordinal sums. Such a method has been used in order to show that suitable transformations of a given copula constitute a dense set in the class of all copulas with respect to the L[infinity] norm.

Keywords: Copula; d-fold; stochastic; measure; Ordinal; sum; Shuffle; of; Min (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (11)

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