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- W2096713213 abstract "Based on the trivariate pair-copula construction for the bivariate linear circular copula by Perlman and Wellner (Symmetry 3:574-99, 2011) and the Theorem of Carathéodory, which states that any valid correlation matrix is a finite convex combination of extreme correlation matrices, we generate a class of closed-form analytical 3-universal copulas. We derive explicit product and lifting copula formulas for the set of all extremal correlation matrices. Our analytical proof makes use of a novel set of conditional copula inequalities, which are of independent interest. 60E15; 62E15; 62H05; 62H20" @default.
- W2096713213 created "2016-06-24" @default.
- W2096713213 creator A5051104951 @default.
- W2096713213 date "2014-01-01" @default.
- W2096713213 modified "2023-09-25" @default.
- W2096713213 title "A closed-form universal trivariate pair-copula" @default.
- W2096713213 cites W2018575471 @default.
- W2096713213 doi "https://doi.org/10.1186/2195-5832-1-7" @default.
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