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Bounds on integrals with respect to multivariate copulas

Bounds on integrals with respect to multivariate copulas Abstract In this paper, we present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposed this approach for two dimensions and stated the generalization to arbitrary dimensons as an open problem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensional case. Furthermore, we provide convergence statements and, as applications, we consider three dimensional dependence measures as well as an example from finance. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

Bounds on integrals with respect to multivariate copulas

Preischl, Michael
Dependence Modeling , Volume (1) – Dec 5, 2016
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Publisher
de Gruyter
Copyright
Copyright © 2016 by the
eISSN
2300-2298
DOI
10.1515/demo-2016-0016
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Abstract

Abstract In this paper, we present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposed this approach for two dimensions and stated the generalization to arbitrary dimensons as an open problem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensional case. Furthermore, we provide convergence statements and, as applications, we consider three dimensional dependence measures as well as an example from finance.

Journal

Dependence Modeling – de Gruyter

Published: Dec 5, 2016

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