Construction of copulas with hairpin support
Entity
UAM. Departamento de MatemáticasPublisher
SpringerDate
2021-05-29Citation
10.1007/s00009-021-01803-8
Mediterranean Journal of Mathematics 18.4 (2021): 155
ISSN
1660-5446 (print); 1660-5454 (online)DOI
10.1007/s00009-021-01803-8Funded 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-PEditor's Version
https://doi.org/10.1007/s00009-021-01803-8Subjects
1-Lipschitz; Copula; Hairpin; Primary 60E05; Secondary 62E10; MatemáticasNote
“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 AGAbstract
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
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Fernández-Sánchez, Juan
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Úbeda-Flores, Manuel
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