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Bounds on integrals with respect to multivariate copulas

Bounds on integrals with respect to multivariate copulas AbstractIn this paper, we present a method to obtain upper and lower bounds on integrals with respect tocopulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposedthis approach for two dimensions and stated the generalization to arbitrary dimensons as an openproblem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensionalcase. Furthermore, we provide convergence statements and, as applications, we consider threedimensional 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 4 (1): 1 – Dec 5, 2016
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Publisher
de Gruyter
Copyright
© 2016 Michael Preischl
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2016-0016
Publisher site
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Abstract

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

Journal

Dependence Modeling – de Gruyter

Published: Dec 5, 2016

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