The impact on the properties of the EFGM copulas when extending this family

0545164 - ÚTIA 2022 RIV NL eng J - Journal Article
Saminger-Platz, S. - Kolesárová, A. - Šeliga, A. - Mesiar, Radko - Klement, E.P.
The impact on the properties of the EFGM copulas when extending this family.
Fuzzy Sets and Systems. Roč. 415, č. 1 (2021), s. 1-26. ISSN 0165-0114. E-ISSN 1872-6801
Institutional support: RVO:67985556
Keywords : Dependence parameter * Eyraud-Farlie-Gumbel-Morgenstern copula * Perturbation * Polynomial copula * Schur concavity * Ultramodularity
OECD category: Statistics and probability
Impact factor: 4.462, year: 2021
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2021/E/mesiar-0545164.pdf https://www.sciencedirect.com/science/article/pii/S0165011420304176?via%3Dihub

Several extensions of the family of (bivariate) Eyraud-Farlie-Gumbel-Morgenstern copulas (EFGM copulas) are considered. Some of them are well-known from the literature, others have recently been suggested (copulas based on quadratic constructions, based on some forms of convexity, and polynomial copulas). For each of these extensions we analyze which properties of EFGM copulas are preserved (or even improved) and which are (partly) lost. Such properties can be structural (order theoretical or topological) in nature, or algebraic (symmetry or being a polynomial) or analytic (absolute continuity). Other examples are forms of convexity, quadrant dependence, and symmetry with respect to copula transformations. The last group of properties considered here is related to some dependence parameters.
Permanent Link: http://hdl.handle.net/11104/0321915