Moments and associated measures of copulas with fractal support

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URI: http://hdl.handle.net/10835/4892
DOI: https://doi.org/10.1016/j.amc.2012.02.025
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Author/s
Amo Artero, Enrique deUniversity of Almería authority; Díaz Carrillo, ManuelUniversity of Almería authority; Fernández Sánchez, JuanUniversity of Almería authority; Salmerón Cerdán, AntonioUniversity of Almería authority
Date
2012
Abstract
Copulas are closely related to the study of distributions and the dependence between random variables. In this paper we develop a recurrence formula for the moments of a measure associated with a copula (a bivariate distribution function with uniform one-dimensional marginals) in the case that its support is a fractal set. We do the same for its principal and secondary diagonals. We also study certain measures of dependence or association for these copulas with fractal supports.
Palabra/s clave
Moment
Copula
Distribution function
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Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional