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Multivariate shuffles and approximation of copulas
Journal article   Peer reviewed

Multivariate shuffles and approximation of copulas

Fabrizio Durante and Juan Fernández-Sánchez
Statistics and Probability Letters, Vol.80, pp.1827-1834
80
2010
Handle:
https://hdl.handle.net/10863/39094

Abstract

Quantitative methods and economic modeling
We present and study a method for constructing multivariate copulas, which includes both the shuffles of Min and the ordinal sums. Such a method has been used in order to show that suitable transformations of a given copula constitute a dense set in the class of all copulas with respect to the $L^{\infty}$ norm.
url
doi.org/10.1016/j.spl.2010.08.008View

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