On the measure induced by copulas that are invariant under univariate truncation

The probability mass distribution of a class of copulas that are invariant under univariate truncation is presented. In particular, it is shown how (differential) properties of the generator of the copula are able to identify the singular (respectively, absolutely continuous) component of the induce...

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Bibliographic Details
Published in:Fuzzy sets and systems 2022-12, Vol.451, p.285-296
Main Authors: Durante, Fabrizio, Fernández-Sánchez, Juan, Úbeda-Flores, Manuel
Format: Article
Language:English
Subjects:
Copula
Doubly stochastic measure
Singular measure
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Summary:The probability mass distribution of a class of copulas that are invariant under univariate truncation is presented. In particular, it is shown how (differential) properties of the generator of the copula are able to identify the singular (respectively, absolutely continuous) component of the induced measure and its support.
ISSN:0165-0114
1872-6801
DOI:10.1016/j.fss.2022.04.017