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Convergence results for patchwork copulas
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DOI：10.1016/j.ejor.2015.06.028.png)
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Abstract
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We present a general construction that allows to extend a given subcopula to a copula in such a way that the extension is affine on some specific segments of the copula domain. This construction is hence applied to provide convergence theorems for approximating a copula in strong convergence and in D-1-metric (related to the Markov kernel representation of a copula). (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.
Keywords:
Copula
Checkerboard copula
Convergence of copulas
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