Random noise and perturbation of copulas

Radko Mesiar; Ayyub Sheikhi; Magda Komorníková

doi:10.14736/kyb-2019-2-0422

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JOURNAL ARTICLE

Random noise and perturbation of copulas

Radko Mesiar Ayyub Sheikhi Magda Komorníková

Year: 2019 Journal: Kybernetika Pages: 422-434 Publisher: Institute of Information Theory and Automation of the Czech Academy of Sciences

DOI: 10.14736/kyb-2019-2-0422

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Abstract

For a random vector (X, Y ) characterized by a copula CX,Y we study its perturbation CX+Z,Y characterizing the random vector (X + Z, Y ) affected by a noise Z independent of both X and Y .Several examples are added, including a new comprehensive parametric copula family (C k ) k∈[-∞,∞] .

Keywords:

Copula (linguistics) Multivariate random variable Random noise Perturbation (astronomy) Mathematics Parametric statistics Statistical physics Combinatorics Discrete mathematics Physics Random variable Pure mathematics Statistics Econometrics Quantum mechanics

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Random noise and perturbation of copulas

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