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Copula constructions using ultramodularity

In: Copulas and Dependence Models with Applications

Author

Listed:
  • Erich Peter Klement

    (Johannes Kepler University, Department of Knowledge-Based Mathematical Systems)

  • Anna Kolesárová

    (Slovak University of Technology, Department of Information Engineering, Automation and Mathematics, Faculty of Chemical and Food Technology)

  • Radko Mesiar

    (Slovak University of Technology, Department of Mathematics and Descriptive Geometry, Faculty of Civil Engineering)

  • Susanne Saminger-Platz

    (Johannes Kepler University, Department of Knowledge-Based Mathematical Systems)

Abstract

We discuss some copula constructions by means of ultramodular bivariate copulas. In general, the ultramodularity of a real function is a stronger version of both its convexity and its supermodularity (the latter property being always satisfied in the case of a bivariate copula). In a statistical sense, ultramodular bivariate copulas are related to random vectors whose components are mutually stochastically decreasing with respect to each other. Analytically speaking, an ultramodular bivariate copula is characterized by the convexity of all of its horizontal and vertical sections. Among other results, we give a sufficient condition for the additive generators of Archimedean ultramodular bivariate copulas, and we propose two constructions for bivariate copulas: the first one being based on ultramodular aggregation functions, and the other one showing the special role of ultramodularity and Schur concavity for a product-like composition of bivariate copulas being again a bivariate copula.

Suggested Citation

  • Erich Peter Klement & Anna Kolesárová & Radko Mesiar & Susanne Saminger-Platz, 2017. "Copula constructions using ultramodularity," Springer Books, in: Manuel Úbeda Flores & Enrique de Amo Artero & Fabrizio Durante & Juan Fernández Sánchez (ed.), Copulas and Dependence Models with Applications, chapter 0, pages 135-156, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-64221-5_9
    DOI: 10.1007/978-3-319-64221-5_9
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