Abstract Details
Activity Number:
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602
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Type:
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Contributed
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Date/Time:
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Thursday, August 7, 2014 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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Abstract #312214
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Title:
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On All of the Possible Extensions of a Two-Dimensional Semi-Copula to a Copula
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Author(s):
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Francois Perron*+
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Companies:
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Universite de Montreal
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Keywords:
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copula ;
semi-copula ;
sigma algebra ;
cantor set ;
semi algebra ;
extension
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Abstract:
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A semi-copula D is the restriction of a Copula C_0 on a product space R_1 x R_2, R_1, R_2 are any subset of [0,1], they contain 0 and 1. We find all of the copulas C such that the restriction of C on R_1 x R_2 is equal to D. These copulas C are called the extensions of D. We provide a very simple expression for the maximal copula extending D. Our results are very general, we do not assume any condition on R_1 and R_2. In particular, we show that some of the previous attempts are less general because they require conditions on R_1 and R_2.
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Authors who are presenting talks have a * after their name.
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