Proposition 3.1 (tent copulas), in the notation of the article #
L_b = leftBoundary b hb, L_b(u,v) = u v + ℓ(u) g_b(v) (equation (3.2)):
- the CDF formula and its two strip forms,
- the copula density
c_b = 1 + σ(u) g_b'(v) ∈ {0,1,2}a.e. (3.3), andL_b(u,v) = ∫∫ c_b, - the Markov kernel
∂₁ L_b(u,v) = v + σ(u) g_b(v)(3.4) (a.e. and classical derivative), v ↦ v ± g_b(v)are distribution functions,β(L_b) = b,L_b(1/2,1/2) = (1+b)/4,ξ(L_b) = |b|³/2and the integral computation∫∫ (∂₁ L_b)² = 1/3 + |b|³/12.
L_b(u,v) = u (v + g_b(v)) on the strip u ≤ 1/2.
L_b(u,v) = u v + (1 - u) g_b(v) on the strip u ≥ 1/2.
The two conditional distribution functions v ↦ v + g_b(v) and v ↦ v - g_b(v) are
nondecreasing, vanish at 0 and equal 1 at 1.
Equation (3.4), classical form: for u ≠ 1/2 the map u ↦ L_b(u,v) (extended by its
formula to ℝ) has derivative v + σ(u) g_b(v).
Equation (3.4): the Markov kernel ∂₁ L_b(u,v) = v + σ(u) g_b(v) for a.e. u.
Equation (3.4) with the classical partial derivative: for a.e. u,
∂₁L_b(u,v) = v + σ(u) g_b(v).
The density (3.3) #
The density of the article, c_b(u,v) = 1 + σ(u) g_b'(v).
Equations
Instances For
The version-1 density agrees a.e. with 1 + σ(u) g_b'(v).
Equation (3.3): the actual law of L_b has density 1 + σ(u) g_b'(v).
The density takes the values 0, 1, 2 almost everywhere.
L_b(u,v) = ∫_{[0,u]×[0,v]} c_b.
The computation in the proof of Proposition 3.1:
∫∫ (∂₁L_b)² = ∫ (v² + g_b(v)²) dv = 1/3 + |b|³/12.
Proposition 3.1, ξ(L_b) = |b|³/2 computed from the kernel exactly as in the article.