A scalar product for copulas

Simple item page
dc.contributor.authorSiburg, Karl Friedrich
dc.contributor.authorStoimenov, Pavel A.
dc.date.accessioned2007-10-25T11:55:28Z
dc.date.available2007-10-25T11:55:28Z
dc.date.issued2007-10-25T11:55:28Z
dc.description.abstractWe introduce a scalar product for n-dimensional copulas, based on the Sobolev scalar product for W 1,2 -functions. The corresponding norm has quite remarkable properties and provides a new geometric framework for copulas. We show that, in the bivariate case, it measures invertibility properties with respect to the ∗-product for copulas defined by Darsow et al. The unique copula of minimal norm is the null element for the ∗-multiplication, whereas the copulas of maximal norm are precisely the invertible elements.en
dc.identifier.urihttp://hdl.handle.net/2003/24794
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15316
dc.language.isoende
dc.subjectCopulaen
dc.subjectScalar producten
dc.subjectSobolev spaceen
dc.subject.ddc004
dc.titleA scalar product for copulasen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
TR_32-siburg.pdf
Size:
205.9 KB
Format:
Adobe Portable Document Format
Description:
DNB
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.92 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Sonderforschungsbereich (SFB) 475