1. Conditioning stable copulas
- Creator:
- Jágr, Vladimír, Komorníková , Magda, and Mesiar , Radko
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- Conditioning, conditioning stable copula, and g-ordinal sum
- Language:
- English
- Description:
- Copulas stable under univariate conditioning are studied. Limit approach to construction of conditioning stable copulas is introduced and illustrated. In the class of Archimedean copulas, Clayton copulas are shown to be the only conditioning stable copulas. Conditioning stable singular copulas are also discussed and examples of non-Archimedean absolutely continuous copulas which are conditioning stable are given.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public