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Bibliografie

Journal Article

Ultramodularity and copulas

Klement E.P., Manzi M., Mesiar Radko

: Rocky Mountain Journal of Mathematics vol.44, 1 (2014), p. 189-202

: GAP402/11/0378, GA ČR

: ultramodularity, copula, Schur concavity

: 10.1216/RMJ-2014-44-1-189

: http://library.utia.cas.cz/separaty/2014/E/mesiar-0432229.pdf

(eng): Ultramodular binary copulas are discussed, i.e., copulas of a random vector whose components are mutually stochastically decreasing with respect to each other. The additive generators of Archimedean ultramodular binary copulas are fully characterized. Finally, a new construction method for binary copulas based on n-ary ultramodular aggregation functions is proposed.

: BA

07.01.2019 - 08:39