On the Characterization of Copulas by Differential Equations

Piotr Jaworski

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 16, 3402-3428

Abstract: We study the semigroup action induced by univariate conditioning of copulas. Based on this, we give a new characterization of bivariate copulas in terms of flows generated by solutions of ordinary differential equations with not necessary continuous right side. Several applications, related to concordance ordering of copulas, illustrate the usefulness of this result.

Date: 2014
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DOI: 10.1080/03610926.2012.700375

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