Article ID Journal Published Year Pages File Type
9552930 Insurance: Mathematics and Economics 2005 7 Pages PDF
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
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