Abstract
Copulas—functions that join multivariate distribution functions to their one-dimensional margins—are special cases of binary 1-Lipschitz aggregation functions, commonly used in aggregation processes. Here we consider a significant class of copulas: Associative copulas. We explore briefly the subclass of Archimedean copulas, and some of the properties and applications of associative copulas, such as the simultaneous associativity, the Kendall distribution functions, topological aspects, etc. Finally, some open problems are posed.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Similar content being viewed by others
References
B. Schweizer, A. Sklar, Probabilistic Metric Spaces (Dover Publications, New York, 2005)
M. Fréchet, Sur les tableaux de corrélation dont les marges sont données. Ann. Univ. Lyon Sect. A 9, 53–77 (1951)
A. Sklar, Fonctions de répartition \(\grave{\rm {a}}\) n dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris 8, 229–231 (1959)
B. Schweizer, E.F. Wolff, On nonparametric measures of dependence for random variables. Ann. Statist. 9, 879–885 (1981)
G. Beliakov, A. Pradera, T. Calvo, Aggregation Functions: A Guide for Practitioners. Studies in Fuzziness and Soft Computing, vol. 221 (Springer, Berlin, 2007)
T. Calvo, A. Kolesárová, M. Komorníkova, R. Mesiar, in Aggregation Operators: Properties, Classes and Construction Methods, eds. by T. Calvo, G. Mayor, R. Mesiar. Aggregation Operators, New Trends and Applications (Physica-Verlag, Heidelberg, 2002), pp. 3–104
E.P. Klement, R. Mesiar (eds.), Logical, Algebraic, Analytic, and Probabilistic Aspects of Triangular Norms (Elsevier, Amsterdam, 2005)
C. Alsina, M.J. Frank, B. Schweizer, Associative Functions: Triangular Norms and Copulas (World Scientific, Singapore, 2006)
R. Moynihan, On \(\tau _T\)-semigroups of probability distribution functions. II. Aequationes Math. 17, 19–40 (1978)
M. Grabisch, J.L. Marichal, R. Mesiar, E. Pap, Aggregation Functions, in Encyclopedia of Mathematics and its Applications, vol 127 (Cambridge University Press, Cambridge, 2009)
F. Durante, C. Sempi, Principles of Copula Theory (Chapman & Hall, London, 2015)
R.B. Nelsen, An Introduction to Copulas, 2nd edn. (Springer, New York, 2006)
U. Cherubini, E. Luciano, W. Vecchiato, Copula Methods in Finance. Wiley Finance Series (Wiley, Chichester, 2004)
P. Jaworski, F. Durante, W. H\(\ddot{\rm {a}}\)rdle (eds.). Copulae in Mathematical and Quantitative Finance. Lecture Notes in Statistics–Proceedings (Springer, Berlin–Heidelberg, 2013)
P. Jaworski, F. Durante, W. H\(\ddot{\rm {a}}\)rdle, T. Rychlik (eds.). Copula Theory and its Applications. Lecture Notes in Statistics–Proceedings (Springer, Berlin–Heidelberg, 2010)
G. Salvadori, C. De Michele, N.T. Kottegoda, R. Rosso, Extremes in Nature, An Approach Using Copulas (Springer, Dordrecht, 2007)
E. de Amo, M. Díaz Carrillo, J. Fernández-Sánchez, Characterization of all copulas associated with non-continuous random variables. Fuzzy Sets Syst. 191, 103–112 (2012)
C.H. Ling, Representation of associative functions. Publ. Math. Debrecen 12, 189–212 (1965)
A.J. McNeil, R. Frey, P. Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton University Press, Princeton, 2005)
C. Genest, J. MacKay, Copules archimédiennes et familles de lois bidimensionnelles dont les marges sont données. Canad. J. Statist. 14, 145–159 (1986)
M.J. Frank, Diagonals of copulas and Schr\(\ddot{\rm {o}}\)eder’s equation. Aequationes Math. 51, 150 (1996)
C. Genest, L.-P. Rivest, Statistical inference procedures for bivariate Archimedean copulas. J. Amer. Statist. Assoc. 55, 698–707 (1993)
V. Schmitz, Revealing the dependence structure between \(X_{(1)}\) and \(X_{(n)}\). J. Statist. Plann. Infer. 123, 41–47 (2004)
W. Wang, M.T. Wells, Model selection and semiparametric inference for bivariate failure-time data. J. Amer. Statist. Assoc. 95, 62–76 (2000)
C. Genest, L.-P. Rivest, On the multivariate probability integral transformation. Statist. Probab. Lett. 53, 391–399 (2001)
R.B. Nelsen, J.J. Quesada-Molina, J.A. Rodríguez-Lallena, M. Úbeda-Flores, Kendall distribution functions. Statist. Probab. Lett. 65, 263–268 (2003)
S. Bertino, Sulla dissomiglianza tra mutabili cicliche. Metron 35, 53–88 (1977)
G.A. Fredricks, R.B. Nelsen, The Bertino family of copulas, in Distributions with Given Marginals and Statistical Modelling, ed. by C. Cuadras, J. Fortiana, J.A. Rodríguez-Lallena (Kluwer Academic Publishers, Dordrecht, 2002), pp. 81–91
R.B. Nelsen, J.J. Quesada-Molina, J.A. Rodríguez-Lallena, M. Úbeda-Flores, Kendall distribution functions and associative copulas. Fuzzy Sets Syst. 160, 52–57 (2009)
P. Barbe, C. Genest, K. Ghoudi, B. Rémillard, On Kendall’s process. J. Multivar. Anal. 58, 197–229 (1996)
R.L. Fountain, J.R. Herman, D.L. Rustvold, An application of Kendall distributions and alternative dependence measures: SPX vs. VIX. Insur.: Math. Econom. 42, 469–472 (2008)
R.B. Nelsen, J.J. Quesada-Molina, J.A. Rodríguez-Lallena, M. Úbeda-Flores, Distribution functions of copulas: a class of bivariate probability integral transforms. Statist. Probab. Lett. 54, 277–282 (2001)
U. dos Anjos, N. Kolev, An application of Kendall distributions. Rev. Bus. Econ. Res. 1, 95–102 (2005)
G. Nappo, F. Spizzichino, Kendall distributions and level sets in bivariate exchangeable survival models. Inform. Sci. 179, 2878–2890 (2009)
P.S. Mostert, A.L. Shields, On the structure of semigroups on a compact manifold with boundary. Ann. Math. 65, 117–143 (1957)
B. Schweizer, A. Sklar, Associative functions and statistical triangle inequalities. Publ. Math. Debrecen 8, 169–186 (1961)
J.C. Oxtoby, Measure and Category: A Survey of the Analogies between Topological and Measure Spaces, 2nd edn. (Springer, New York, 1980)
E.P. Klement, R. Mesiar, E. Pap, Uniform approximation of associative copulas by strict and non-strict copulas. Illinois J. Math. 45, 1393–1400 (2001)
E.P. Klement, R. Mesiar, E. Pap, Triangular Norms (Kluwer Academic Publishers, Dordrecht, 2000)
F. Durante, J. Fernández-Sánchez, W. Trutschnig, Baire category results for exchangeable copulas. Fuzzy Sets Syst. (2015). doi:10.1016/j.fss.2015.04.010
C. Alsina, M.J. Frank, B. Schweizer, Problems on associative functions. Aequationes Math. 66, 128–140 (2003)
W. Trutschnig, On a strong metric on the space of copulas and its induced dependence measure. J. Math. Anal. Appl. 384, 690–705 (2011)
J. Fernández-Sánchez, W. Trutschnig, Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and Iterated Function Systems. J. Theor. Probab. (2015). doi:10.1007/s10959-014-0541-4
P. Mikusiński, M.D. Taylor, A remark on associative copulas. Comment. Math. Univ. Carolinae 40, 789–793 (1999)
C. Alsina, R. Ger, On associative copulas uniformly close. Internat. J. Math. Math. Sci. 11, 439–448 (1988)
M.J. Frank, On the simultaneous associativity of \(F(x, y)\) and \(x+y-F(x, y)\). Aequationes Math. 19, 194–226 (1979)
E.P. Klement, R. Mesiar, E. Pap, Invariant copulas. Kybernetika 38, 275–285 (2002)
E. Alvoni, P.L. Papini, Quasi-concave copulas, asymmetry and transformations. Comment. Math. Univ. Carolin. 48, 311–319 (2007)
F. Durante, C. Sempi, Copulæ and Schur-concavity. Internat. Math. J. 3, 893–905 (2003)
W. Fenchel, Convex Cones, Sets and Functions, Lecture Notes (Priceton University, Princeton, 1953)
B. de Finetti, Sulle stratificazioni convesse. Ann. Mat. Pura Appl. 30, 173–183 (1949)
A. Marshall, I. Olkin, Inequalities: Theory of Majorization and its Applications (Academic Press, New York, 1979)
C. Alsina, in On Schur-concave \(t\) -norms and Triangle Functions, ed. by W. Walter. General Inequalities, vol. 4 (Birkh\(\ddot{\rm a}\)user Verlag, Basel, 1984), pp. 241–248
E.P. Klement, R. Mesiar, E, Pap, Problems on triangular norms and related operators. Fuzzy Sets Syst. 145, 471-479 (2004)
F. Durante, Solution of an open problem for associative copulas. Fuzzy Sets Syst. 152, 411–415 (2005)
G. Mayor, J. Su\(\tilde{\rm {n}}\)er, J. Torrens, Copula-like operations on finite settings. IEEE Trans. Fuzzy Syst. 13, 468–477 (2005)
G. Mayor, J. Su\(\tilde{\rm {n}}\)er, J. Torrens, Sklar’s theorem in finite settings. IEEE Trans. Fuzzy Syst. 15, 410–416 (2007)
A. Kolesárová, J. Mordelová, Quasi-copulas and copulas on a discrete scale. Soft Comput. 10, 495–501 (2006)
J. Fodor, Smooth associative operations on finite ordinal scales. IEEE Trans. Fuzzy Syst. 8, 791–795 (2000)
G. Mayor, J. Torrens, On a class of operators for expert systems. Int. J. Intell. Syst. 8, 771–778 (1993)
G. Mayor, J. Torrens, Triangular norms on discrete settings, in Logical, Algebraic, Analytic, and Probabilistic Aspects of Triangular Norms, ed. by E.P. Klement, R. Mesiar (Elsevier, Amsterdam, 2005), pp. 189–230
E.P. Klement, R. Mesiar, How non-symmetric can a copula be? Comment. Math. Univ. Carolin. 47, 141–148 (2006)
R.B. Nelsen, Extremes of nonexchangeability. Stat. Papers 48, 329–336 (2007)
K.F. Siburg, P.A. Stoimenov, Symmetry of functions and exchangeability of random variables. Stat. Papers 52, 1–15 (2011)
F.H. Ferreira, Medidas de assimetria bivariada e depend\(\hat{\rm {e}}\)ncia local. PhD Thesis, Universidade de S\(\tilde{\rm a}\)o Paulo (2008)
P. Jaworski, Testing Archimedeanity, in Combining Soft Computing and Statistical Methods in Data Analysis, ed. by C. Borglet, G. González-Rodríguez, W. Trutschnig, M.A. Lubiano, M.A. Gil, P. Grzegorzewski, O. Hryniewicz (Springer, Berlin, 2010), pp. 353–360
A. B\(\ddot{\rm u}\)cher, H. Dette, S. Volgushev, A test for Archimedeanity in bivariate copula models. J. Multivariate Anal. 110, 121–132 (2012)
A. Erdely, J.M. González-Barrios, R.B. Nelsen, Symmetries of random discrete copulas. Kybernetika 44, 846–863 (2008)
J.M. González-Barrios, Statistical aspects of associativity for copulas. Kybernetika 46, 149–177 (2010)
E.L. Post, Polyadic groups. Trans. Amer. Math. Soc. 48, 208–350 (1940)
A. Stup\(\check{\rm {n}}\)anová, A. Kolesárová, Associative n-dimensional copulas. Kybernetika 47, 93–99 (2011)
R. Mesiar, P. Sarkoci, Open problems posed at the tenth international conference on fuzzy set theory and applications (FSTA 2010, Liptovský Ján, Slovakia). Kybernetika 46, 585–599 (2010)
R. Mesiar, C. Sempi, Ordinal sums and idempotents of copulas. Aequationes Math. 79, 39–52 (2010)
A.J. McNeil, J. Ne\(\check{\rm {s}}\)lehová, Multivariate Archimedean copulas, d-monotone functions and \(l_1\)-norm symmetric distributions. Ann. Stat. 37, 3059–3097 (2009)
M. Petrík, P. Sarkoci, Associativity of triangular norms characterized by the geometry of their level sets. Fuzzy Sets Syst. 202, 100–109 (2012)
E.P. Klement, M. Manzi, R. Mesiar, Ultramodularity and copulas. Rocky Mt. J. Math. 44, 189–201 (2014)
M. Marinacci, L. Montrucchio, Ultramodular functions. Math. Oper. Res. 30, 311–332 (2005)
R.E. Barlow, M.B. Mendel, in Similarity as a Probabilistic Characteristic of Aging, eds. by R.E. Barlow, C.A. Clarotti, F. Spizzichino. Reliability and Decision Making (Chapman & Hall, London, 1993)
F. Spizzichino, Subjective Probability Models for Lifetimes (Chapman & Hall/CRC, Boca Raton, 2001)
R.B. Nelsen, Some properties of Schur-constant survival models and their copulas. Braz. J. Probab. Stat. 19, 179–190 (2005)
G. Beliakov, B. De Baets, H. De Meyer, R.B. Nelsen, M. Úbeda-Flores, Best-possible bounds on the set of copulas with given degree of non-exchangeability. J. Math. Anal. Appl. 417, 451–468 (2014)
B. De Baets, H. De Meyer, R. Mesiar, Asymmetric semilinear copulas. Kybernetika 43, 221–233 (2007)
F. Durante, R. Mesiar, \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas. J. Math. Anal. Appl. 369, 610–615 (2010)
F. Durante, P.L. Papini, A weakening of Schur-concavity for copulas. Fuzzy Sets Syst. 158, 1378–1383 (2007)
F. Durante, P.L. Papini, Componentwise concave copulas and their asymmetry. Kybernetika 45, 1003–1011 (2009)
F. Durante, P.L. Papini, Non-exchangeability of negatively dependent random variables. Metrika 71, 139–149 (2010)
F. Durante, E.P. Klement, C. Sempi, M. Úbeda-Flores, Measures of non-exchangeability for bivariate random vectors. Stat. Papers 51, 687–699 (2010)
Acknowledgments
The authors wish to thank two anonymous referees for helpful comments. The authors also acknowledge the support by the Ministerio de Economía y Competitividad (Spain) under research project MTM2014-60594-P.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2016 Springer International Publishing Switzerland
About this chapter
Cite this chapter
Fernández-Sánchez, J., Quesada-Molina, J.J., Úbeda-Flores, M. (2016). Associative Copulas: A Survey. In: Calvo Sánchez, T., Torrens Sastre, J. (eds) Fuzzy Logic and Information Fusion. Studies in Fuzziness and Soft Computing, vol 339. Springer, Cham. https://doi.org/10.1007/978-3-319-30421-2_3
Download citation
DOI: https://doi.org/10.1007/978-3-319-30421-2_3
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-30419-9
Online ISBN: 978-3-319-30421-2
eBook Packages: EngineeringEngineering (R0)