Rocky Mountain Journal of Mathematics

Ultramodularity and copulas

Erich Peter Klement, Maddalena Manzi, and Radko Mesiar

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Abstract

Ultramodular binary copulas are discussed, i.e., copulas of a random vector whose components are mutually stochastically decreasing with respect to each other. The additive generators of Archimedean ultramodular binary copulas are fully characterized. Finally, a new construction method for binary copulas based on $n$-ary ultramodular aggregation functions is proposed.

Article information

Source
Rocky Mountain J. Math., Volume 44, Number 1 (2014), 189-202.

Dates
First available in Project Euclid: 2 June 2014

Permanent link to this document
https://projecteuclid.org/euclid.rmjm/1401740498

Digital Object Identifier
doi:10.1216/RMJ-2014-44-1-189

Mathematical Reviews number (MathSciNet)
MR3216016

Zentralblatt MATH identifier
1371.62050

Subjects
Primary: 26B25: Convexity, generalizations 62E10: Characterization and structure theory
Secondary: 26B35: Special properties of functions of several variables, Hölder conditions, etc. 60E05: Distributions: general theory 62H10: Distribution of statistics

Keywords
Copula Archimedean copula ultramodularity aggregation function

Citation

Klement, Erich Peter; Manzi, Maddalena; Mesiar, Radko. Ultramodularity and copulas. Rocky Mountain J. Math. 44 (2014), no. 1, 189--202. doi:10.1216/RMJ-2014-44-1-189. https://projecteuclid.org/euclid.rmjm/1401740498


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