Characterization of asymptotical expansions of copulas by the use of homogeneous functions

• Autorzy: Iwaniec E.
• Języki publikacji: EN

Abstrakty

EN

The definition, terminology and possible forms of homogeneous expansion of copulas are given. The methodology that provides homogeneous expansions with a proof of their existence is presented. Numerous examples illustrating the usage of the main theorem for valuation of the expansions are indicated.

Słowa kluczowe

EN

homogeneous function; copulas; tail expansion

PL

funkcje homogeniczne; kopuły

• Wydawca: De Gruyter
• Czasopismo: Demonstratio Mathematica
• Rocznik: 2009
• Tom: Vol. 42, nr 3
• Strony: 567--579
• Opis fizyczny: Bibliogr. 12 poz.

Twórcy

autor

Iwaniec E.

• Faculty of Mathematics and Information Science Warsaw University of Technology Plac Politechniki 1 00-661 Warsaw, Poland,

Bibliografia

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• [8] P. Jaworski, Asymptotyka dwuwymiarowych kopuli, Matematyka Stosowana 4 (2003), 78-89.
• [9] P. Jaworski, On uniform tail expansions of bivariate copulas, Applicationes Mathematicae 31, no. 4, (2004), 397-415,
• [10] H. Joe, Multivariate Models and Dependence Concepts, Monogr. Statist. Appl. Probab. 73, Chapman and Hall, London, 1997.
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• [12] A. Sklar, Fonctions de repartition a n dimensions et leur marges, Publications of the Institute of Statistics, University of Paris, 8 (1959) 229-231.