Kybernetika 55 no. 2, 422-434, 2019

Random noise and perturbation of copulas

Radko Mesiar, Ayyub Sheikhi and Magda KomorníkováDOI: 10.14736/kyb-2019-2-0422

Abstract:

For a random vector $(X,Y)$ characterized by a copula $C_{X,Y}$ we study its perturbation $C_{X+Z,Y}$ 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 $\left(\mathcal{C}_k \right) _{k \in [-\infty, \infty]}$.

Keywords:

copula, noise, perturbation of copula, random vector

Classification:

60E05, 62H20

paper.pdf

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