Conditional Expectations and Idempotent Copulæ

Carlo Sempi
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Carlo Sempi: Università di Lecce, Dipartimento di Matematica “Ennio De Giorgi”

A chapter in Distributions With Given Marginals and Statistical Modelling, 2002, pp 223-228 from Springer

Abstract: Abstract Abstract A connection between conditional expectations and idempotent copulas is established. It is proved that there exists a one-to-one correspondence between conditional expectations and copulas that are idempotent with respect to the binary operation introduced by Darsow, Nguyen and Olsen.

Keywords: Copula; Conditional expectation; Markov operator; 60E05; 60G05 (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-017-0061-0_23

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DOI: 10.1007/978-94-017-0061-0_23

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