E-viri
Recenzirano
-
Nelsen, Roger B.; Quesada-Molina, José Juan; Rodríguez-Lallena, José Antonio; Úbeda-Flores, Manuel
Insurance, mathematics & economics, 04/2008, Letnik: 42, Številka: 2Journal Article
We study a method, which we call a copula (or quasi-copula) diagonal splice, for creating new functions by joining portions of two copulas (or quasi-copulas) with a common diagonal section. The diagonal splice of two quasi-copulas is always a quasi-copula, and we find a necessary and sufficient condition for the diagonal splice of two copulas to be a copula. Applications of this method include the construction of absolutely continuous asymmetric copulas with a prescribed diagonal section, and determining the best-possible upper bound on the set of copulas with a particular type of diagonal section. Several examples illustrate our results.
