Copula and semicopula transforms英文文献资料.docVIP

COPULAANDSEMICOPULATRANSFORMS FABRIZIODURANTEANDCARLOSEMPI Received22April2004 InmemoryofBrunoBassan,friendandcolleague We characterize the transformation, de?ned for every copula C, by Ch(x,y):= [?1]( ( ( ), ( ))),where C h x h y and ybelongto[0,1]andhisastrictlyincreasingandcon- h x tinuousfunctionon[0,1].Westudythistransformationalsointheclassofquasi-copulas andsemicopulas. 1.Introduction The notion ofcopula wasintroduced bySklar [24] who provedthetheorem thatnow bearshisname;itiscommonly usedinprobability andstatistics (see,forinstance,[19, 22, 23]). Later,inorder tocharacterize aclass ofoperations ondistribution functions thatderivefromoperationsonrandomvariablesde?nedonthesameprobabilityspace, Alsinaetal.[1]introducedthenotionofquasi-copula(seealso[12,20,27]).Onthecon- trary,thenotion ofsemicopula isrecent[3,8]andarises fromastatistical application: thestudyofmultivariateagingthroughtheanalysisoftheSchurconcavityofthesurvival function(see[2,25]).Semicopulasgeneralizetriangularnorms(brie?yt-norms),intro- ducedbyK.Mengerinordertoextendthetriangleinequalityfromthesettingofmetric spacestoprobabilisticmetricspaces,andsuccessfullyusedinprobabilitytheory,mathe- maticalstatistics,andfuzzylogic[15,22].Werefertoourpaper[8]forthepropertiesof semicopulas.HerewerecallthatasemicopulaisafunctionS:[0,1]2→[0,1]thatsatis?es thefollowingtwoconditions: ?xin[0,1] S(x,1)=S(1,x)=x, S(x,y)isincreasingineachplace. (1.1) Asaconsequenceof(1.1),givenasemicopulaS,onehas,forallxandyin[0,1], Z(x,y)≤S(x,y)≤M(x,y), (1.2) (1.3) whereM(x,y)=min{x,y}and ? ? 0, (x,y)∈[0,1[2, elsewhere. Z(x,y)= ? min{x,y}, Copyright?2005HindawiPublishingCorporation InternationalJournalofMathematicsandMathematicalSciences2005:4(2005)645–655 DOI:10.1155/IJMMS.2005.645  646 Copulaandsemicopulatransforms Ifasemicopula C is2-increasing, namely,forallx,x,y,y in]0,1]with x≤x and    y≤y,Csatis?estheinequality C(x,y)?C(x,y)?C(x,y)+C(x,y)≥0, (1.4) thenitisacopula(see[1