Title :
A Characterization of the Orthogonal Grid Constructions of Copulas
Author :
Fernandez Sanchez, Juan ; Ubeda-Flores, Manuel
Author_Institution :
Grupo de Investig. de Analisis Matematico, Univ. de Almeria, Almeria, Spain
Abstract :
A framework for constructing copulas that can be regarded as a patchwork-like assembly of arbitrary copulas, with nonoverlapping rectangles as patches, is studied in [B. De Baets and H. De Meyer, “Orthogonal grid constructions of copulas,” IEEE Trans. Fuzzy Syst., vol. 15, no. 6, pp. 1053-1062, Dec. 2007], where the authors provide sufficient conditions to derive a family of construction methods. Our aim in this paper is to provide a characterization of such constructions.
Keywords :
statistics; arbitrary copula patchwork-like assembly; construction methods; nonoverlapping rectangles; orthogonal grid copula constructions; sufficient conditions; Additives; Assembly; Decision making; Finance; Fuzzy logic; Fuzzy sets; Random variables; 2-increasing; Copula; orthogonal grid construction;
Journal_Title :
Fuzzy Systems, IEEE Transactions on
DOI :
10.1109/TFUZZ.2013.2282398
