Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552930 | Insurance: Mathematics and Economics | 2005 | 7 Pages |
Abstract
Using an iterated function system, the authors construct families of copulas whose supports are fractals. In particular, they show that the members of one family have supports with arbitrary Hausdorff dimensions in the interval (1,2). They also employ those copulas to construct more general bivariate distribution functions with fractal supports.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gregory A. Fredricks, Roger B. Nelsen, José Antonio RodrÃguez-Lallena,