WEIGHTED POWER MEAN COPULAS: THEORY ANDAPPLICATION

It is well known that the arithmetic mean of two possibly differentcopulas forms a copula, again. More general, we focus on theweighted power mean (WPM) of two arbitrary copulas which is notnecessary a copula again, as different counterexamples reveal. However,various conditions regarding the mean function and the underlyingcopula are given which guarantee that a proper copula (so-calledWPM copula) results....

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Year of publication:	2011
Authors:	Klein, Ingo ; Fischer, Matthias ; Pleier, Thomas
Institutions:	Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung <Erlangen>
Subject:	Statistik \| Kopula <Mathematik> \| Copulas \| Arithmetisches Mittel \| Arithmetic Mean

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Extent:	393216 bytes 29 p. application/pdf
Series:	IWQW - Discussion Paper Series No. 1(2011)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate statistics and corporate cost accounting ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10008911518