Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
389446 | Fuzzy Sets and Systems | 2015 | 14 Pages |
Abstract
New types of constructions of bivariate copulas are introduced, discussed and exemplified. Based on a given copula C , we look for its perturbation into another copula CHCH, possibly close to C. A special stress is put on the perturbation of the basic copulas M, W, Π. Our results generalize several methods known from the literature, such as the Farlie–Gumbel–Morgenstern copula family, for example. An illustrative example when fitting copulas to real data is also added.
Related Topics
Physical Sciences and Engineering
Computer Science
Artificial Intelligence
Authors
Radko Mesiar, Magda Komorníková, Jozef Komorník,