BACK to VOLUME 44 NO.6

Kybernetika 44(6):817-825, 2008.

Extreme Distribution Functions of Copulas

Manuel Úbeda-Flores


Abstract:

In this paper we study some properties of the distribution function of the random variable C(X,Y) when the copula of the random pair (X,Y) is M (respectively, W) - the copula for which each of X and Y is almost surely an increasing (respectively, decreasing) function of the other -, and C is any copula. We also study the distribution functions of M(X,Y) and W(X,Y) given that the joint distribution function of the random variables X and Y is any copula.


Keywords: copula; diagonal section; distribution function; Lipschitz condition; opposite diagonal section; ordering; Spearman's footrule;


AMS: 60E05; 62H05; 62E10;


download full-text.pdf
download abstract.pdf

BIB TeX

@article{kyb:2008:6:817-825,

author = {\'{U}beda-Flores, Manuel },

title = {Extreme Distribution Functions of Copulas},

journal = {Kybernetika},

volume = {44},

year = {2008},

number = {6},

pages = {817-825}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


BACK to VOLUME 44 NO.6