Moments and associated measures of copulas with fractal support

Amo Artero, Enrique de; Díaz Carrillo, Manuel; Fernández Sánchez, Juan; Salmerón Cerdán, Antonio

doi:https://doi.org/10.1016/j.amc.2012.02.025

Ficheros

Moments and associated measures of copulas with.pdf (185.5Kb)

Identificadores

URI: http://hdl.handle.net/10835/4892
DOI: https://doi.org/10.1016/j.amc.2012.02.025

Servicios

Fecha

2012

Resumen

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

Colecciones

Artículos de revista Dpto. Matemáticas [298]

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