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Geometry of discrete copulas

Author

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  • Perrone, Elisa
  • Solus, Liam
  • Uhler, Caroline

Abstract

The space of discrete copulas admits a representation as a convex polytope, and this has been exploited in entropy-copula methods used in hydrology and climatology. In this paper, we focus on the class of component-wise convex copulas, i.e., ultramodular copulas, which describe the joint behavior of stochastically decreasing random vectors. We show that the family of ultramodular discrete copulas and its generalization to component-wise convex discrete quasi-copulas also admit representations as polytopes. In doing so, we draw connections to the Birkhoff polytope, the alternating sign matrix polytope, and their generalizations, thereby unifying and extending results on these polytopes from both the statistics and the discrete geometry literature.

Suggested Citation

  • Perrone, Elisa & Solus, Liam & Uhler, Caroline, 2019. "Geometry of discrete copulas," Journal of Multivariate Analysis, Elsevier, vol. 172(C), pages 162-179.
    • Handle: RePEc:eee:jmvana:v:172:y:2019:i:c:p:162-179
    DOI: 10.1016/j.jmva.2019.01.014
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    Cited by:

    1. Geenens Gery, 2020. "Copula modeling for discrete random vectors," Dependence Modeling, De Gruyter, vol. 8(1), pages 417-440, January.
    2. Geenens Gery, 2020. "Copula modeling for discrete random vectors," Dependence Modeling, De Gruyter, vol. 8(1), pages 417-440, January.

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