Title of article :
On the existence of a trivariate copula with given values of a trivariate quasi-copula at several points
Author/Authors :
De Baets، نويسنده , , Bernard and De Meyer، نويسنده , , Hans and Fernلndez Sلnchez، نويسنده , , Juan and عbeda-Flores، نويسنده , , Manuel، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2013
Pages :
12
From page :
3
To page :
14
Abstract :
The existence of a (multivariate) copula with a given value of a (multivariate) quasi-copula at a single point is known. In the bivariate case, the existence of a copula with given values of a quasi-copula at two or three arbitrary points is also known. In this paper, we give an alternative proof of the existence of a trivariate copula with a given value of a trivariate quasi-copula at a single point. This proof relies on the reformulation of the existence problem as a linear programming minimization problem and its solution by means of the simplex algorithm. The same method is then used to prove the existence of a trivariate copula with given values of a trivariate quasi-copula at two arbitrary points in the unit cube. We furthermore establish a counter-example showing that the existence for given values at three points is not guaranteed. This completes the analysis of the trivariate case.
Keywords :
Copula , Linear programming , Lipschitz condition , Quasi-copula , Simplex Method , Trivariate (quasi-)copula
Journal title :
FUZZY SETS AND SYSTEMS
Serial Year :
2013
Journal title :
FUZZY SETS AND SYSTEMS
Record number :
1601738
Link To Document :
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