Publication details
Journal Article
Ultramodularity and copulas
, ,
: Rocky Mountain Journal of Mathematics vol.44, 1 (2014), p. 189-202
: GAP402/11/0378, GA ČR
: ultramodularity, copula, Schur concavity
: http://library.utia.cas.cz/separaty/2014/E/mesiar-0432229.pdf
(eng): Ultramodular binary copulas are discussed, i.e., copulas of a random vector whose components are mutually stochastically decreasing with respect to each other. The additive generators of Archimedean ultramodular binary copulas are fully characterized. Finally, a new construction method for binary copulas based on n-ary ultramodular aggregation functions is proposed.
: BA