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Asymmetry of copulas with a given opposite diagonal section

Cover: Fuzzy sets and Systems
  • SEB research

Authors:

  • Damjana Kokol Bukovšek, University of Ljubljana, School of Economics and Business
  • Blaž Mojškerc, University of Ljubljana, School of Economics and Business
  • Nik Stopar, University of Ljubljana, Faculty of Civil and Geodetic Engineering

Keywords:

Copula | Opposite diagonal section | Asymmetry | Distribution

Abstract:

In this paper we investigate bivariate copulas with a given opposite diagonal section. We determine the exact lower bound for all such copulas and derive an explicit formula for the maximal asymmetry for copulas with a given opposite diagonal section. As a special case, we consider the situation when the opposite diagonal section is symmetric and unimodal, which is true in many applications. To obtain our results, we also calculate the maximal asymmetry of all distributions with fixed marginals, which is an interesting result by itself.

The Sustainable Development Goals (SDGs) addressed in the article are:

  • SDG 4 – Quality education
  • SDG 9 – Industry, Innovation, Technology and Infrastructure

The article is published in:
Fuzzy sets and systems (ScienceDirect)

The content is freely accessible at:

Asymmetry of copulas with a given opposite diagonal section

SDG's eng.