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On the approximation of copulas via shuffles of Min

  • Durante, Fabrizio
  • Sánchez, Juan Fernández

We study a multivariate extension of shuffles of Min that has a probabilistic interpretation in terms of mutually completely dependent process. The closure properties of the class of such copulas under different types of convergence is investigated.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 82 (2012)
Issue (Month): 10 ()
Pages: 1761-1767

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Handle: RePEc:eee:stapro:v:82:y:2012:i:10:p:1761-1767
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  1. Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
  2. Piotr Mikusiński & Michael Taylor, 2010. "Some approximations of n-copulas," Metrika, Springer, vol. 72(3), pages 385-414, November.
  3. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
  4. Zephyr, 2010. "The city," City, Taylor & Francis Journals, vol. 14(1-2), pages 154-155, February.
  5. Baker, Rose, 2008. "An order-statistics-based method for constructing multivariate distributions with fixed marginals," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2312-2327, November.
  6. Karl Siburg & Pavel Stoimenov, 2010. "A measure of mutual complete dependence," Metrika, Springer, vol. 71(2), pages 239-251, March.
  7. Durante, Fabrizio & Fernández-Sánchez, Juan, 2010. "Multivariate shuffles and approximation of copulas," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1827-1834, December.
  8. Sancetta, Alessio & Satchell, Stephen, 2004. "The Bernstein Copula And Its Applications To Modeling And Approximations Of Multivariate Distributions," Econometric Theory, Cambridge University Press, vol. 20(03), pages 535-562, June.
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