TY - JOUR
T1 - Markov product invariance in classes of bivariate copulas characterized by univariate functions
AU - Fernández Sánchez, Juan
AU - Trutschnig, Wolfgang
AU - Tschimpke, Marco
N1 - Publisher Copyright:
© 2021 The Author(s)
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
PY - 2021/9/15
Y1 - 2021/9/15
N2 - We extend and sharpen some results in the literature concerning the notion of Markov product idempotence in some well-known classes of copulas. Focusing on families of copulas which are characterized by univariate functions we show that in the class of extreme-value copulas, in the class of diagonal copulas and in some special class of copulas represented by measure-preserving transformations only the usual suspects (if contained in the class) are idempotent, namely the product copula Π and minimum copula M. Additionally, we prove a conjecture going back to Albanese and Sempi in 2016 saying that the only idempotent Archimedean copula is the product copula Π.
AB - We extend and sharpen some results in the literature concerning the notion of Markov product idempotence in some well-known classes of copulas. Focusing on families of copulas which are characterized by univariate functions we show that in the class of extreme-value copulas, in the class of diagonal copulas and in some special class of copulas represented by measure-preserving transformations only the usual suspects (if contained in the class) are idempotent, namely the product copula Π and minimum copula M. Additionally, we prove a conjecture going back to Albanese and Sempi in 2016 saying that the only idempotent Archimedean copula is the product copula Π.
KW - Copula
KW - Invariance
KW - Markov product
KW - Star product
UR - http://www.scopus.com/inward/record.url?scp=85103430819&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/3f06e893-70f0-3248-bca5-9ca6d0a7d46b/
UR - https://resolver.obvsg.at/urn:nbn:at:at-ubs:3-23323
U2 - 10.1016/j.jmaa.2021.125184
DO - 10.1016/j.jmaa.2021.125184
M3 - Article
SN - 0022-247X
VL - 501
JO - Journal of Mathematical Analysis and Applications
JF - Journal of Mathematical Analysis and Applications
IS - 2
M1 - 125184
ER -