Exact upper bound for copulas with a given diagonal section
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866909151599263744 |
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| author | Bukovšek, Damjana Kokol Mojškerc, Blaž Stopar, Nik |
| author_facet | Bukovšek, Damjana Kokol Mojškerc, Blaž Stopar, Nik |
| contents | We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas with a given diagonal section and construct a copula that attains it. We derive a formula for the maximal asymmetry that is simple enough to be used by practitioners. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_02220 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Exact upper bound for copulas with a given diagonal section Bukovšek, Damjana Kokol Mojškerc, Blaž Stopar, Nik Probability Statistics Theory 62H05, 60E05 We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas with a given diagonal section and construct a copula that attains it. We derive a formula for the maximal asymmetry that is simple enough to be used by practitioners. |
| title | Exact upper bound for copulas with a given diagonal section |
| topic | Probability Statistics Theory 62H05, 60E05 |
| url | https://arxiv.org/abs/2308.02220 |