Geodesic
Random noise and perturbation of copulas
Kybernetika, Tome 55 (2019) no. 2, pp. 422-434
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For a random vector $(X,Y)$ characterized by a copula $C_{X,Y}$ we study its perturbation $C_{X+Z,Y}$ characterizing the random vector $(X+Z,Y)$ affected by a noise $Z$ independent of both $X$ and $Y$. Several examples are added, including a new comprehensive parametric copula family $\left(\mathcal{C}_k \right) _{k \in [-\infty, \infty]}$.
For a random vector $(X,Y)$ characterized by a copula $C_{X,Y}$ we study its perturbation $C_{X+Z,Y}$ characterizing the random vector $(X+Z,Y)$ affected by a noise $Z$ independent of both $X$ and $Y$. Several examples are added, including a new comprehensive parametric copula family $\left(\mathcal{C}_k \right) _{k \in [-\infty, \infty]}$.
DOI : 10.14736/kyb-2019-2-0422
Classification : 60E05, 62H20
Keywords: copula; noise; perturbation of copula; random vector 
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Mesiar, Radko; Sheikhi, Ayyub; Komorníková, Magda. Random noise and perturbation of copulas. Kybernetika, Tome 55 (2019) no. 2, pp. 422-434. doi: 10.14736/kyb-2019-2-0422

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