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

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
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/5078821
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