Copulas: compatibility and Fréchet classes

Details Copulas: compatibility and Fréchet classes Copulas: compatibility and Fréchet classes

2007-11-15

arxiv.org/abs/0711.2409v1

Journal of Inequalities and Applications, vol. 2008 (2008), Article ID 161537, 9 pages

Mathematics

Statistics Theory

LaTeX, 14 pages

Scientific paper

10.1155/2008/161537

We determine under which conditions three bivariate copulas are compatible,
viz. they are the bivariate marginals of the same trivariate copula, and, then,
construct the class of these copulas. In particular, the upper and lower bounds
for this class of trivariate copulas are determined.

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