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arXiv · 2308.02220

Exact upper bound for copulas with a given diagonal section

Damjana Kokol Bukovšek·Blaž Mojškerc·Nik Stopar
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Abstract

We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas with a given diagonal section and construct a copula that attains it. We derive a formula for the maximal asymmetry that is simple enough to be used by practitioners.

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Damjana Kokol Bukovšek, Blaž Mojškerc, Nik Stopar. 2023-08-04. Exact upper bound for copulas with a given diagonal section. https://doi.org/10.1016/j.fss.2024.108865

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