Spatially homogeneous copulas |
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Authors: | Durante Fabrizio Fernndez Snchez Juan Trutschnig Wolfgang |
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Institution: | 1.Dipartimento di Scienze dell’Economia, Università del Salento, Campus Ecotekne - Palazzina C, Via Monteroni 165, 73100, Lecce, Italy ;2.Grupo de Investigación de Análisis Matemático, Universidad de Almería, Carretera Sacramento s/n, La Cañada de San Urbano, 04120, Almería, Spain ;3.Department for Mathematics, University of Salzburg, Hellbrunner Strasse 34, 5020, Salzburg, Austria ; |
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Abstract: | We consider spatially homogeneous copulas, i.e. copulas whose corresponding measure is invariant under a special transformations of \(0,1]^2\), and we study their main properties with a view to possible use in stochastic models. Specifically, we express any spatially homogeneous copula in terms of a probability measure on 0, 1) via the Markov kernel representation. Moreover, we prove some symmetry properties and demonstrate how spatially homogeneous copulas can be used in order to construct copulas with surprisingly singular properties. Finally, a generalization of spatially homogeneous copulas to the so-called (m, n)-spatially homogeneous copulas is studied and a characterization of this new family of copulas in terms of the Markov \(*\)-product is established. |
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