Asymmetric linkages : maxmin vs. reflected maxmin copulas
Kokol-Bukovšek, Damjana ...
V članku vpeljemo nove kopule, ki izhajajo iz modelov udarov. Znano je, da zrcaljene maksmin kopule niso samo poseben primer singularnih kopul, ampak vsebujejo tudi pomemben razred absolutno zveznih ...kopul, namreč negativno odvisne Eyraud-Farlie-Gumbel-Morgensternove kopule. Glavni cilj tega članka je razviti zrcaljene maksmin kopule z odvisnimi endogenimi udari in utemeljiti, da imajo zrcaljene maksmin kopule lepše lastnosti kot maksmin kopule: (1) Dokažemo, da je iterativni postopek za zrcaljeno maksmin transformacijo vedno konvergenten in izpeljemo uporabne lastnosti dobljenih limit. (2) Z uporabo tega rezultata najdemo tudi limito iterativnega maksmin postopka in tako odgovorimo na vprašanje, ki so ga zastavili Durante, Omladič, Oražem in Ružić [F. Durante, M. Omladič, L. Oražem, N. Ružić, Shock models with dependence and asymmetric linkages, Fuzzy Sets Syst. 323 (2017) 152-168]. (3) Podamo multivariatno zrcaljeno maksmin kopulo z odvisnimi udari, ki je v primerjavi z maksmin verzijo, ki so jo razvili Durante, Omladič, Oražem in Ružić, preprostejša. V vseh naših kopulah so notranji in zunanji udari povezani z nesimetričnimi funkcijami, v nasprotju z Marshallovimi kopulami, kjer so povezovalne funkcije simetrične.
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