| Title:
|
Random noise and perturbation of copulas (English) |
| Author:
|
Mesiar, Radko |
| Author:
|
Sheikhi, Ayyub |
| Author:
|
Komorníková, Magda |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
55 |
| Issue:
|
2 |
| Year:
|
2019 |
| Pages:
|
422-434 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
For a random vector $(X,Y)$ characterized by a copula $C_{X,Y}$ we study its perturbation $C_{X+Z,Y}$ characterizing the random vector $(X+Z,Y)$ affected by a noise $Z$ independent of both $X$ and $Y$. Several examples are added, including a new comprehensive parametric copula family $\left(\mathcal{C}_k \right) _{k \in [-\infty, \infty]}$. (English) |
| Keyword:
|
copula |
| Keyword:
|
noise |
| Keyword:
|
perturbation of copula |
| Keyword:
|
random vector |
| MSC:
|
60E05 |
| MSC:
|
62H20 |
| idZBL:
|
Zbl 07144946 |
| idMR:
|
MR4014595 |
| DOI:
|
10.14736/kyb-2019-2-0422 |
| . |
| Date available:
|
2019-09-30T15:12:48Z |
| Last updated:
|
2020-04-02 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/147845 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
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| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| . |
