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Construction of copulas with hairpin support

Author
Chamizo Lorente, Fernandountranslated; Fernández-Sánchez, Juan; Úbeda-Flores, Manuel
Entity
UAM. Departamento de Matemáticas
Publisher
Springer
Date
2021-05-29
Citation
Mediterranean Journal of Mathematics 18.4 (2021): 155
ISSN
1660-5446 (print); 1660-5454 (online)
DOI
10.1007/s00009-021-01803-8
Funded by
The authors acknowledge the comments of the reviewer. The first author is partially supported by the MTM2017-83496-P grant of the MICINN (Spain) and the “Severo Ochoa Programme for Centres of Excellence in R&D” (SEV2015-0554)
Project
Gobierno de España. MTM2017-83496-P
Editor's Version
https://doi.org/10.1007/s00009-021-01803-8
Subjects
1-Lipschitz; Copula; Hairpin; Primary 60E05; Secondary 62E10; Matemáticas
URI
http://hdl.handle.net/10486/700633
Note
“This is a post-peer-review, pre-copyedit version of an article published in Mediterranean Journal of Mathematics. The final authenticated version is available online at: http://dx.doi.org/10.1007/s00009-021-01803-8”
Rights
© 2021 The Author(s), under exclusive licence to Springer Nature Switzerland AG

Abstract

Consider a nondecreasing homeomorphisms f defined on [0, 1] such that f(x) < x for all x ∈]0, 1[. In this paper, we provide necessary and sufficient conditions for such f to be part of a C-hairpin that concentrates the mass of a bivariate copula. In addition, we study when copulas of this kind come from modular functions. Finally, under certain conditions, we give a multidimensional method that generalizes the bivariate case and allows to construct extreme points in the set of multidimensional copulas
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Google™ Scholar:Chamizo Lorente, Fernando - Fernández-Sánchez, Juan - Úbeda-Flores, Manuel

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