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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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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container_title Insurance, mathematics & economics
container_volume 37
creator Fredricks, Gregory A.
Nelsen, Roger B.
Rodríguez-Lallena, José Antonio
description 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.
doi_str_mv 10.1016/j.insmatheco.2004.12.004
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source International Bibliography of the Social Sciences (IBSS); Elsevier; Elsevier SD Backfile Economics; Backfile Package - Mathematics (Legacy) [YMT]
subjects Copula
Financial economics
Fractal
Fractals
Functional analysis
Insurance
Iterated function system
Mathematical analysis
Mathematical economics
Mathematics
Matrix calculus
Studies
title Copulas with fractal supports
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