Construction of Copulas with Hairpin Support
Copyright policy )Construction of Copulas with Hairpin Support
Consider a nondecreasing homeomorphisms f defined on [0, 1] such that f(x) < x for all x ∈]0, 1[. In this paper, we provide necessary and sufficient conditions for such f to be part of a C-hairpin that concentrates the mass of a bivariate copula. In addition, we study when copulas of this kind come from modular functions. Finally, under certain conditions, we give a multidimensional method that generalizes the bivariate case and allows to construct extreme points in the set of multidimensional copulas
The authors acknowledge the comments of the reviewer. The first author is partially supported by the MTM2017-83496-P grant of the MICINN (Spain) and the “Severo Ochoa Programme for Centres of Excellence in R&D” (SEV2015-0554)
“This is a post-peer-review, pre-copyedit version of an article published in Mediterranean Journal of Mathematics. The final authenticated version is available online at: http://dx.doi.org/10.1007/s00009-021-01803-8”
- Autonomous University of Madrid Spain
- University of Almería Spain
Matemáticas, Primary 60E05, 1-Lipschitz, Copula, Characterization and structure theory of statistical distributions, hairpin, copula, Probability distributions: general theory, Hairpin, Characterization and structure theory for multivariate probability distributions; copulas, Secondary 62E10
Matemáticas, Primary 60E05, 1-Lipschitz, Copula, Characterization and structure theory of statistical distributions, hairpin, copula, Probability distributions: general theory, Hairpin, Characterization and structure theory for multivariate probability distributions; copulas, Secondary 62E10
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