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.File in questo prodotto:
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