Bivariate quadratic copula constructions

doi:10.1016/j.ijar.2017.10.001

2018-01-01

PRE

Suttisak Wisadwongsa

Santi Tasena *

DOI：10.1016/j.ijar.2017.10.001

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摘要

En 中文

In this study, we present the concept of quadratic copula constructions using two arbitrary copulas. We characterize all quadratic polynomials of four variables whose composition with any two copulas always results in a copula. We show that these polynomials form a compact convex set in a seven-dimensional vector space. We also apply the result to obtain a new family of copulas. (C) 2017 Elsevier Inc. All rights reserved.

Keyword:

Copula

Quadratic construction

Copula transformation

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期刊

International Journal of Approximate Reasoning

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论文数:

3.0K

被引数:

5.1K

机构

Chiang Mai University

学者数:

1.5W

论文数: 9.3K

被引数: 7.9K

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