We have intensified studies of reflections of copulas (that we introduced recently in \cite{Kom}) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold.
We study a wide class of copulas which generalizes well-known families of copulas, such as the semilinear copulas. We also study corresponding results for the case of quasi-copulas.
Performance of coherent reliability systems is strongly connected with distributions of order statistics of failure times of components. A crucial assumption here is that the distributions of possibly mutually dependent lifetimes of components are exchangeable and jointly absolutely continuous. Assuming absolute continuity of marginals, we focus on properties of respective copulas and characterize the marginal distribution functions of order statistics that may correspond to absolute continuous and possibly exchangeable copulas. One characterization is based on the vector of distribution functions of all order statistics, and the other concerns the distribution of a single order statistic.
Quasi-homogeneity of copulas is introduced and studied. Quasi-homogeneous copulas are characterized by the convexity and strict monotonicity of their diagonal sections. As a by-product, a new construction method for copulas when only their diagonal section is known is given.
Vine copulas are a flexible way for modeling dependences using only pair-copulas as building blocks. However if the number of variables grows the problem gets fastly intractable. For dealing with this problem Brechmann at al. proposed the truncated R-vine copulas. The truncated R-vine copula has the very useful property that it can be constructed by using only pair-copulas and a lower number of conditional pair-copulas. In our earlier papers we introduced the concept of cherry-tree copulas. In this paper we characterize the relation between cherry-tree copulas and truncated R-vine copulas. It turns out that the concept of cherry-tree copula is more general than the concept of truncated R-vine copula. Although both contain in their expressions conditional independences between the variables, the truncated R-vines constructed in greedy way do not exploit the existing conditional independences in the data. We give a necessary and sufficient condition for a cherry-tree copula to be a truncated R-vine copula. We introduce a new method for truncated R-vine modeling. The new idea is that in the first step we construct the top tree by exploiting conditional independences for finding a good-fitting cherry-tree of order k. If this top tree is a tree in an R-vine structure then this will define a truncated R-vine at level k and in the second step we construct a sequence of trees which leads to it. If this top tree is not a tree in an R-vine structure then we can transform it into such a tree at level k+1 and then we can again apply the second step. The second step is performed by a backward construction named Backward Algorithm. This way the cherry-tree copulas always can be expressed by pair-copulas and conditional pair-copulas.
This contribution deals with the dominance relation on the class of conjunctors, containing as particular cases the subclasses of quasi-copulas, copulas and t-norms. The main results pertain to the summand-wise nature of the dominance relation, when applied to ordinal sum conjunctors, and to the relationship between the idempotent elements of two conjunctors involved in a dominance relationship. The results are illustrated on some well-known parametric families of t-norms and copulas.
Several open problems posed during FSTA 2006 (Liptovský Ján, Slovakia) are presented. These problems concern the classification of strict triangular norms, Lipschitz t-norms, interval semigroups, copulas, semicopulas and quasi-copulas, fuzzy implications, means, fuzzy relations, MV-algebras and effect algebras.
Eighteen open problems posed during FSTA 2010 (Liptovský Ján, Slovakia) are presented. These problems concern copulas, triangular norms and related aggregation functions. Some open problems concerning effect algebras are also included.
We introduce four families of semilinear copulas (i.e. copulas that are linear in at least one coordinate of any point of the unit square) of which the diagonal and opposite diagonal sections are given functions. For each of these families, we provide necessary and sufficient conditions under which given diagonal and opposite diagonal functions can be the diagonal and opposite diagonal sections of a semilinear copula belonging to that family. We focus particular attention on the family of orbital semilinear copulas, which are obtained by linear interpolation on segments connecting the diagonal and opposite diagonal of the unit square.
We introduce and characterize the class of multivariate quasi-copulas with quadratic sections in one variable. We also present and analyze examples to illustrate our results.