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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.
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    Cited by:

    1. Fabrizio Durante & Juan Fernández Sánchez & Wolfgang Trutschnig, 2020. "Spatially homogeneous copulas," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(2), pages 607-626, April.
    2. Kamnitui Noppadon & Santiwipanont Tippawan & Sumetkijakan Songkiat, 2015. "Dependence Measuring from Conditional Variances," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-15, July.
    3. Fang, Jun & Jiang, Fan & Liu, Yong & Yang, Jingping, 2020. "Copula-based Markov process," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 166-187.

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