Absolutely Continuous Copulas with Given Diagonal Sections |
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| Authors: | Fabrizio Durante Piotr Jaworski |
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| Affiliation: | 1. Department of Knowledge-Based Mathematical Systems , Johannes Kepler University , Linz, Austria fabrizio.durante@jku.at;3. Institute of Mathematics, Warsaw University , Warszawa, Poland |
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| Abstract: | Necessary and sufficient conditions are given in order to ensure that a function δ:[0, 1] → [0, 1] is the diagonal section of an absolutely continuous copula. Explicit constructions are provided. |
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| Keywords: | Copula Diagonal section Tail dependence |
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