Shuffles of copulas

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:352

Article

Durante, Fabrizio¹  Sarkoci, Peter¹  Sempi, Carlo² 

[1] Johannes Kepler Univ Linz, Dept Knowledge Based Math Syst, A-4040 Linz, Austria

[2] Univ Salento, Dipartimento Matemat Ennio De Giorgi, I-73100 Lecce, Italy

关键词: Copula;    Doubly stochastic measure;    Measure-preserving transformation;    Shuffle of Min;   

DOI  :  10.1016/j.jmaa.2008.11.064

来源: Elsevier

【 摘 要 】

We show that every copula that is a shuffle of Min is a special push-forward of the doubly stochastic measure induced by the copula M. This fact allows to generalize the notion of shuffle by replacing the measure induced by M with an arbitrary doubly stochastic measure, and, hence, the copula M by any copula C. (C) 2008 Elsevier Inc. All rights reserved.

【 授权许可】

Free