The impact on the properties of the EFGM copulas when extending this family

Susanne Saminger-Platz, Anna Kolesárová, Adam Seliga, Radko Mesiar, Erich Klement

Research output: Contribution to journalArticlepeer-review

Abstract

Several extensions of the family of (bivariate) Eyraud-Farlie-Gumbel-Morgenstern copulas (EFGM copulas) are considered. Some of them are well-known from the literature, others have recently been suggested (copulas based on quadratic constructions, based on some forms of convexity, and polynomial copulas). For each of these extensions we analyze which properties of EFGM copulas are preserved (or even improved) and which are (partly) lost. Such properties can be structural (order theoretical or topological) in nature, or algebraic (symmetry or being a polynomial) or analytic (absolute continuity). Other examples are forms of convexity, quadrant dependence, and symmetry with respect to copula transformations. The last group of properties considered here is related to some dependence parameters.
Original languageEnglish
Pages (from-to)1-26
Number of pages26
JournalFuzzy Sets and Systems
Volume415
DOIs
Publication statusPublished - 2021

Fields of science

  • 101 Mathematics
  • 101013 Mathematical logic
  • 101024 Probability theory
  • 102001 Artificial intelligence
  • 102003 Image processing
  • 102019 Machine learning
  • 102035 Data science
  • 603109 Logic
  • 202027 Mechatronics

JKU Focus areas

  • Digital Transformation

Cite this