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2014 Ultramodularity and copulas
Erich Peter Klement, Maddalena Manzi, Radko Mesiar
Rocky Mountain J. Math. 44(1): 189-202 (2014). DOI: 10.1216/RMJ-2014-44-1-189

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.

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Erich Peter Klement. Maddalena Manzi. Radko Mesiar. "Ultramodularity and copulas." Rocky Mountain J. Math. 44 (1) 189 - 202, 2014. https://doi.org/10.1216/RMJ-2014-44-1-189

Information

Published: 2014
First available in Project Euclid: 2 June 2014

zbMATH: 1371.62050
MathSciNet: MR3216016
Digital Object Identifier: 10.1216/RMJ-2014-44-1-189

Subjects:
Primary: 26B25 , 62E10
Secondary: 26B35 , 60E05 , 62H10

Keywords: aggregation function , Archimedean copula , copula , ultramodularity

Rights: Copyright © 2014 Rocky Mountain Mathematics Consortium

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Vol.44 • No. 1 • 2014
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