Characterizations of bivariate conic, extreme value, and Archimax copulas

Saminger-Platz Susanne (), José De Jesús Arias-García (), Mesiar Radko () and Klement Erich Peter ()
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Saminger-Platz Susanne: Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, 4040 Linz, Austria
José De Jesús Arias-García: De Jesús Arias-García KERMIT, Department of Mathematical Modelling, Statistics and Bioinformatics, Ghent University, 9000 Gent, Belgium
Mesiar Radko: Department of Mathematics and Descriptive Geometry, Faculty of Civil Engineering, Slovak University of Technology, 810 05 Bratislava, Slovakia
Klement Erich Peter: Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, 4040 Linz, Austria

Dependence Modeling, 2017, vol. 5, issue 1, 45-58

Abstract: Based on a general construction method by means of bivariate ultramodular copulas we construct, for particular settings, special bivariate conic, extreme value, and Archimax copulas. We also show that the sets of copulas obtained in this way are dense in the sets of all conic, extreme value, and Archimax copulas, respectively.

Keywords: Ultramodular copula; conic copula; extreme value copula; Archimax copula (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:45-58:n:3

DOI: 10.1515/demo-2017-0003

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