Construction of non-exchangeable bivariate distribution functions

Fabrizio Durante1
1Department of Knowledge-Based Mathematical Systems, Johannes Kepler University Linz, Austria

Tóm tắt

Từ khóa


Tài liệu tham khảo

Calvo T, Kolesárová A, Komorní ková M, Mesiar R (2002) Aggregation operators: properties, classes and construction methods. In: Calvo T, Mesiar R, Mayor G (eds) Aggregation operators. New trends and applications. Physica-Verlag, Heidelberg, pp 3–106

Cherubini U, Luciano E, Vecchiato W (2004) Copula methods in finance. Wiley, New York

Durante F (2005) Generalized composition of binary aggregation operators. Int J Uncertain Fuzziness Knowl Based Syst 13:567–577

Durante F, Sempi C (2005) Copula and semicopula transforms. Int J Math Math Sci 2005:645–655

Durante F, Sempi C (2006) On the characterization of a class of binary operations on bivariate distribution functions. Publ Math Debr 69:47–63

Durante F, Mesiar R, Papini PL, Sempi C (2007) 2-increasing binary aggregation operators. Inform Sci 177:111–129

Frees EW, Valdez EA (1998) Understanding relationships usingcopulas. North Am Act J 2:1–25

Genest C, Favre A-C (2007) Everything you always wanted to know about copula modeling but were afraid to ask. J Hydrol Eng 12 (in press)

Genest C, MacKay RJ (1986) Copules archimédiennes et familles de lois bidimensionnelles dont les marges sont données. Can J Stat 14:145–159

Genest C, Ghoudi K, Rivest L-P (1998) Discussion on the paper Understanding relationships using copulas by Frees E.W., Valdez E.A. North Am Act J 2:143–149

Hutchinson TP, Lai CD (1990) Continuous bivariate distributions. Emphasising applications. Rumsby Scientific Publishing, Adelaide

Joe H (1997) Multivariate models and dependence concepts. Chapman & Hall, London

Klement EP, Mesiar R, Pap E (2005) Archimax copulas and invariance under transformations. CR Math Acad Sci Paris 240:755–758

McNeil AJ, Frey R, Embrechts P (2005) Quantitative risk management concepts, techniques and tools Princeton Series in Finance. Princeton University Press, Princeton

Morillas PM (2005) A method to obtain new copulas from a given one. Metrika 61:169–184

Müller A, Scarsini M (2001) Stochastic comparison of random vectors with a common copula. Math Oper Res 26:723–740

Nelsen RB (2006) An introduction to copulas. Springer, Heidelberg

Nelsen RB (2007) Extremes of nonexchangeability. Stat Pap 48:329–336

Shaked M, Shanthikumar JG (1990) Parametric stochastic convexity and concavity of stochastic processes. Ann Inst Stat Math 42:509–531

Tawn JA (1988) Bivariate extreme value theory: models and estimation. Biometrika 75:397–415