In this paper, we deal with the problem of preserving the copula property by means of a transformation called distortion where automorphisms of the real unit interval are involved. A new methodological approach is followed by resorting to a special branch of group theory. The crucial role of absolute continuity of one-dimensional sections of a distorted copula is illustrated. Some necessary and sufficient conditions concerning the automorphisms which preserve the copula property for a large class of bivariate copulas are proved. Several examples are presented.

Distorted copulas

Roberto Ghiselli Ricci
2024-01-01

Abstract

In this paper, we deal with the problem of preserving the copula property by means of a transformation called distortion where automorphisms of the real unit interval are involved. A new methodological approach is followed by resorting to a special branch of group theory. The crucial role of absolute continuity of one-dimensional sections of a distorted copula is illustrated. Some necessary and sufficient conditions concerning the automorphisms which preserve the copula property for a large class of bivariate copulas are proved. Several examples are presented.
2024
484
File in questo prodotto:
File Dimensione Formato  
FSS 2024 Dist. Cop..pdf

accesso aperto

Tipologia: Versione dell'editore
Licenza: Accesso libero (no vincoli)
Dimensione 648.88 kB
Formato Adobe PDF
648.88 kB Adobe PDF Visualizza/Apri

I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/5078821
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact