Abstract
We consider spatially homogeneous copulas, i.e. copulas whose corresponding measure is invariant under a special transformations of \([0,1]^2\), and we study their main properties with a view to possible use in stochastic models. Specifically, we express any spatially homogeneous copula in terms of a probability measure on [0, 1) via the Markov kernel representation. Moreover, we prove some symmetry properties and demonstrate how spatially homogeneous copulas can be used in order to construct copulas with surprisingly singular properties. Finally, a generalization of spatially homogeneous copulas to the so-called (m, n)-spatially homogeneous copulas is studied and a characterization of this new family of copulas in terms of the Markov \(*\)-product is established.
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Acknowledgements
The authors gratefully acknowledge the support of the grant MTM2014-60594-P (partially supported by FEDER) from the Spanish Ministry of Economy and Competitiveness. The first author has been partially supported by INdAM–GNAMPA Project 2017 “Bounds for Risk Functionals in Dependence Models”.
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Durante, F., Fernández Sánchez, J. & Trutschnig, W. Spatially homogeneous copulas. Ann Inst Stat Math 72, 607–626 (2020). https://doi.org/10.1007/s10463-018-0703-8
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DOI: https://doi.org/10.1007/s10463-018-0703-8