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Convergence results for patchwork copulas
Journal article   Peer reviewed

Convergence results for patchwork copulas

Fabrizio Durante, Juan Fernández-Sánchez, José Juan Quesada-Molina and Manuel Úbeda-Flores
European Journal of Operational Research, Vol.247(2), pp.525-531
247
2015
Handle:
https://hdl.handle.net/10863/2117

Abstract

Quantitative methods and economic modeling Copulas Multivariate analysis Rank-based statistics Quantitative risk management
We present a general construction that allows to extend a given subcopula to a copula in such a way that the extension is affine on some specific segments of the copula domain. This construction is hence applied to provide convergence theorems for approximating a copula in strong convergence and in D1-metric (related to the Markov kernel representation of a copula).
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http://www.sciencedirect.com/science/article/pii/S0377221715005421View

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