Random noise and perturbation of copulas

0506946 - ÚTIA 2020 RIV CZ eng J - Článek v odborném periodiku
Mesiar, Radko - Ayyub, Sh. - Komorníková, M.
Random noise and perturbation of copulas.
Kybernetika. Roč. 55, č. 2 (2019), s. 422-434. ISSN 0023-5954
Institucionální podpora: RVO:67985556
Klíčová slova: copula * noise * perturbation of copula * random vector
Obor OECD: Statistics and probability
Impakt faktor: 0.664, rok: 2019
Způsob publikování: Open access
http://library.utia.cas.cz/separaty/2019/E/mesiar-0506946.pdf http://www.kybernetika.cz/content/2019/2/422

For a random vector (X,Y) characterized by a copula CX,Y we study its perturbation CX+Z,Y characterizing the random vector (X+Z,Y) affected by a noise Z independent of both X and Y. Several examples are added, including a new comprehensive parametric copula family (Ck)k∈[−∞,∞].
Trvalý link: http://hdl.handle.net/11104/0298086