| Title:
|
Univariate conditioning of copulas (English) |
| Author:
|
Mesiar, Radko |
| Author:
|
Jágr, Vladimír |
| Author:
|
Juráňová , Monika |
| Author:
|
Komorníková, Magda |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
44 |
| Issue:
|
6 |
| Year:
|
2008 |
| Pages:
|
807-816 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
The univariate conditioning of copulas is studied, yielding a construction method for copulas based on an a priori given copula. Based on the gluing method, g-ordinal sum of copulas is introduced and a representation of copulas by means of g-ordinal sums is given. Though different right conditionings commute, this is not the case of right and left conditioning, with a special exception of Archimedean copulas. Several interesting examples are given. Especially, any Ali-Mikhail-Haq copula with a given parameter λ > 0 allows to construct via conditioning any Ali-Mikhail-Haq copula with parameter μ $\in $ [0,λ]. (English) |
| Keyword:
|
conditioning |
| Keyword:
|
gluing |
| Keyword:
|
g-ordinal sum |
| Keyword:
|
construction of copulas |
| MSC:
|
60E05 |
| MSC:
|
62H05 |
| idZBL:
|
Zbl 1196.62059 |
| idMR:
|
MR2488908 |
| . |
| Date available:
|
2009-09-24T20:40:26Z |
| Last updated:
|
2013-09-21 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135892 |
| . |
| Reference:
|
[1] Javid A. Ahmadi: Copulas with truncation-invariance property.Comm. Statist. A – Theory Methods, to appear MR 2589808 |
| Reference:
|
[2] Calvo T., Kolesárová A., Komorníková, M., Mesiar R.: Aggregation Operators: Properties, Classes and Construction Methods.(Studies in Fuzziness and Soft Computing – Aggregation Operators, New Trend and Applications.) Physica-Verlag, Heidelberg 2002, pp. 3–106 Zbl 1039.03015, MR 1936383 |
| 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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| Reference:
|
[11] Mesiar R., Szolgay J.: $W$-ordinal sums of copulas and quasi-copulas.In: Proc. MAGIA 2004 Conference, Kočovce 2004, pp. 78–83 |
| Reference:
|
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| Reference:
|
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| Reference:
|
[14] Sklar M.: Fonctions de répartition à $n$ dimensions et leurs marges.Publ. Inst. Statist. Univ. Paris 8 (1959), 229–231 MR 0125600 |
| . |
