Multivariate copulas with given values at two arbitrary points

Erich Peter Klement (), Damjana Kokol Bukovšek (), Matjaž Omladič (), Susanne Saminger-Platz () and Nik Stopar ()
Additional contact information
Erich Peter Klement: Johannes Kepler University Linz
Damjana Kokol Bukovšek: University of Ljubljana
Matjaž Omladič: Institute of Mathematics, Physics and Mechanics
Susanne Saminger-Platz: Johannes Kepler University Linz
Nik Stopar: University of Ljubljana

Statistical Papers, 2023, vol. 64, issue 6, No 9, 2015-2055

Abstract: Abstract Copulas are functions that link an n-dimensional distribution function with its one-dimensional margins. In this contribution we show how n-variate copulas with given values at two arbitrary points can be constructed. Thereby, we also answer a so far open question whether lower and upper bounds for n-variate copulas with given value at a single arbitrary point are achieved. We also introduce and discuss the concept of an $$\mathbf{F}$$ F -copula which is needed for proving our results.

Keywords: Copula; Quasi-copula; Multivariate distribution; Bounds; 62H05; 60E05 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00362-022-01362-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:stpapr:v:64:y:2023:i:6:d:10.1007_s00362-022-01362-4

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-022-01362-4

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().