A scalar product for copulas |
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Authors: | Karl Friedrich Siburg Pavel A. Stoimenov |
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Affiliation: | a Fakultät für Mathematik, Technische Universität Dortmund, Vogelpothsweg 87, 44227 Dortmund, Germany b Fakultät für Statistik, Technische Universität Dortmund, Vogelpothsweg 78, 44227 Dortmund, Germany |
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Abstract: | We introduce a scalar product for n-dimensional copulas, based on the Sobolev scalar product for W1,2-functions. The corresponding norm has quite remarkable properties and provides a new, geometric framework for copulas. We show that, in the bivariate case, it measures invertibility properties of copulas with respect to the ∗-operation introduced by Darsow et al. (1992). The unique copula of minimal norm is the null element for the ∗-operation, whereas the copulas of maximal norm are precisely the invertible elements. |
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Keywords: | Copula Scalar product Sobolev space |
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