Copulas with fractal supports

Using an iterated function system, the authors construct families of copulas whose supports are fractals. In particular, they show that the members of one family have supports with arbitrary Hausdorff dimensions in the interval (1,2). They also employ those copulas to construct more general bivariat...

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Bibliographic Details
Published in:Insurance, mathematics & economics mathematics & economics, 2005-08, Vol.37 (1), p.42-48
Main Authors: Fredricks, Gregory A., Nelsen, Roger B., Rodríguez-Lallena, José Antonio
Format: Article
Language:English
Subjects:
Copula
Financial economics
Fractal
Fractals
Functional analysis
Insurance
Iterated function system
Mathematical analysis
Mathematical economics
Mathematics
Matrix calculus
Studies
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Summary:Using an iterated function system, the authors construct families of copulas whose supports are fractals. In particular, they show that the members of one family have supports with arbitrary Hausdorff dimensions in the interval (1,2). They also employ those copulas to construct more general bivariate distribution functions with fractal supports.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2004.12.004