Copulas with fractal supports

被引：43

作者：

Fredricks, GA ^{[1
]}

Nelsen, RB

Rodríguez-Lallena, JA

机构：

[1] Lewis & Clark Coll, Dept Math Sci, Portland, OR 97219 USA

[2] Univ Almeria, Dept Estadist & Matemat Aplicada, La Canada De San Urbano 04120, Almeria, Spain

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2005年 / 37卷 / 01期

关键词：

copula; fractal; iterated function system;

D O I：

10.1016/j.insmatheco.2004.12.004

中图分类号：

F [经济];

学科分类号：

02 [经济学];

摘要：

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. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：42 / 48

页数：7

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