Otwarty dostęp

New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems


Zacytuj

[1] C. Amblard and S. Girard. Symmetry and dependence properties within a semi parametric family of bivariate copulas. Journal of Nonparametric Statistics, 14(6):715–727, (2002).10.1080/10485250215322 Search in Google Scholar

[2] U. Banerjee. Dependence Analysis. Book series: Loop Transformations for Restructuring Compilers. Kluwer Academic Publishers: Boston, Dordrecht, London. (1997). Search in Google Scholar

[3] Ch. Blier-Wong, H. Cossettea and E. Marceau. Stochastic representation of FGM copulas using multivariate Bernoulli random variables. Computational Statistics and Data Analysis 173 (2022)107506.10.1016/j.csda.2022.107506 Search in Google Scholar

[4] D.K.Bukovsek et al. Relation between non-exchangeability and measures of concordance of copulas, Journal of Mathematical Analysis and Applications, Volume 487, Issue 1, 2020,10.1016/j.jmaa.2020.123951 Search in Google Scholar

[5] A. Charpentier. Mesures de risque. In Journées d’Etudes Statistique, Lunigny, Novembre 2010. Search in Google Scholar

[6] A. Dehgani, A. Dolati, and M. Ubeda-Flores. Measures of radial asymmetry for bivariate random vectors. Statistical Papers, 1-16. (2013) Search in Google Scholar

[7] F. Durante A. McNeil, J. Neslehovà, Bivariate copulas generated by perturbations, Fuzzy Sets and Systems 228, 137–144, (2013).10.1016/j.fss.2012.08.008 Search in Google Scholar

[8] F. Durante, J. Fernandez-Sanchez, C. Sempi. A topological proof of Sklar’s theorem. Appl. Math. Lett. 26(9) (2013) 945–948.10.1016/j.aml.2013.04.005 Search in Google Scholar

[9] A. Durante, J. McNeil and J. Neslehova, Bivariate copulas generated by perturbations. Fuzzy Sets and Systems. Volume 228, 137-144, (2013).10.1016/j.fss.2012.08.008 Search in Google Scholar

[10] H.Dette, K.F Siburg and P. Stoimenov A copula based nonparametric measure of regression dependence. A copula-based non-parametric measure of regression dependence. Scand. J. Stat. 40 (2013), no. 1, 21–41.10.1111/j.1467-9469.2011.00767.x Search in Google Scholar

[11] F.Griessenberger and W. Trutschnig, Maximal asymmetry of bivariate copulas and consequences to measures of dependence. Dependence Modeling.n. 1 volume. 10, (2022).10.1515/demo-2022-0115 Search in Google Scholar

[12] M. Hollander, A nonparametric test for bivariate symmetry. Biometrika 58:203–212. (1971)10.1093/biomet/58.1.203 Search in Google Scholar

[13] L. karbil Et Al. Asymmetry quantification in cross modal retrieval using copulas. Journal of Mathematical and Computational Science. Volume 12. (2022) Search in Google Scholar

[14] EP. Klement, R. Mesiar How non-symmetric can a copula be? Comment. Math Univ Carol 47(1): 141–148. (2006) Search in Google Scholar

[15] J. Lee, Y. M. Kim. Generalized nonlinear percentile regression using asymmetric maximum likelihood estimation. Communications for Statistical Applications and Methods 2021;28:627-641.10.29220/CSAM.2021.28.6.627 Search in Google Scholar

[16] E. Liebscher. Construction of asymmetric multivariate copulas. Journal of Multivariate Analysis, (2008) Volume 99, 2234–2250.10.1016/j.jmva.2008.02.025 Search in Google Scholar

[17] J.F Mai and M. Scherer On the structure of exchangeable extreme-value copulas. Journal of Multivariate Analysis. volume 180, 104-670. (2020).10.1016/j.jmva.2020.104670 Search in Google Scholar

[18] S. Mukherjeea et.al, Construction of bivariate asymmetric copulas.Communications for Statistical Applications and Methods. 2018, Vol. 25, No. 2, 217–234.10.29220/CSAM.2018.25.2.217 Search in Google Scholar

[19] R.B. Nelsen, Some concepts of bivariate symmetry. Journal of Nonparametric Statistics 3:95–101, (1993).10.1080/10485259308832574 Search in Google Scholar

[20] R.B. Nelsen Extremes of nonexchangeability. Stat. Papers 48(2):329–336. (2007)10.1007/s00362-006-0336-5 Search in Google Scholar

[21] R.B. Nelsen, An Introduction to Copulas. Springer Series in Statistics. Springer Science+Business Media, Inc., New York, 2nd edition, (2006). Search in Google Scholar

[22] S. Saminger-Platz, A.Kolesàrovà, A. Seligaetal. The impact on the properties of the EFGM copulas when extending this family. Fuzzy Sets and Systems, Volume 415, Pages 1-26, (2021).10.1016/j.fss.2020.11.001 Search in Google Scholar

[23] A. Sani and L. Karbil A functional treatment of asymmetric copulas. EJMAA 8(1) 17-26. (2020).10.21608/ejmaa.2020.312803 Search in Google Scholar

[24] K. Siburg et al. An order of asymmetry in copulas, and implications for risk management. Insurance: Mathematics and Economics. Volume 68, 247-251. (2016)10.1016/j.insmatheco.2016.03.008 Search in Google Scholar

[25] A. Sklar; Fonctions de répartitionà n dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris. 8, 229-231. (1959) Search in Google Scholar

[26] A.Sklar Random variables, joint distribution functions and copulas Kybernetica, Volume 9, pages; 449-460. (1973). Search in Google Scholar

eISSN:
2351-8227
Język:
Angielski