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Random noise and perturbation of copulas

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    0506946 - ÚTIA 2020 RIV CZ eng J - Journal Article
    Mesiar, Radko - Ayyub, Sh. - Komorníková, M.
    Random noise and perturbation of copulas.
    Kybernetika. Roč. 55, č. 2 (2019), s. 422-434. ISSN 0023-5954
    Institutional support: RVO:67985556
    Keywords : copula * noise * perturbation of copula * random vector
    Subject RIV: BA - General Mathematics
    OBOR OECD: Statistics and probability
    Impact factor: 0.664, year: 2019
    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∈[−∞,∞].
    Permanent Link: http://hdl.handle.net/11104/0298086
     
Number of the records: 1