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On Cesáro convergence of iterates of the star product of copulas

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  • Trutschnig, Wolfgang

Abstract

For each copula A the iterates of the star product of A with itself are shown to be Cesáro convergent to an idempotent copula Aˆ with respect to the strong metric D1. Sufficient conditions for Aˆ=Π are given.

Suggested Citation

  • Trutschnig, Wolfgang, 2013. "On Cesáro convergence of iterates of the star product of copulas," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 357-365.
  • Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:357-365
    DOI: 10.1016/j.spl.2012.09.025
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    References listed on IDEAS

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    1. Fredricks, Gregory A. & Nelsen, Roger B. & Rodriguez-Lallena, Jose Antonio, 2005. "Copulas with fractal supports," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 42-48, August.
    2. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    3. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    4. N. Lesca, 2010. "Introduction," Post-Print halshs-00640602, HAL.
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    Cited by:

    1. Kamnitui Noppadon & Santiwipanont Tippawan & Sumetkijakan Songkiat, 2015. "Dependence Measuring from Conditional Variances," Dependence Modeling, De Gruyter Open, vol. 3(1), pages 1-15, July.

    More about this item

    Keywords

    Copula; Idempotence; Markov kernel; Markov operator;

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