A differential characterization of the d-increasingness property

Abstract In this paper, we extend the classical notion of d-increasing function: some necessary and sufficient conditions concerning the d-increasing property are provided, along with a characterization theorem based upon a differential criterion which is shown to be very useful for constructing new families of d-copulas. Several examples are presented.

[1]  Ludger Rüschendorf,et al.  Inequalities for the expectation of Δ-monotone functions , 1980 .

[2]  M. Sklar Fonctions de repartition a n dimensions et leurs marges , 1959 .

[3]  Roberto Ghiselli Ricci,et al.  Exchangeable copulas , 2013, Fuzzy Sets Syst..

[4]  P. Billingsley,et al.  Probability and Measure , 1980 .

[5]  M. Haugh,et al.  An Introduction to Copulas , 2016 .

[6]  Roberto Ghiselli Ricci,et al.  On differential properties of copulas , 2013, Fuzzy Sets Syst..

[7]  Radko Mesiar,et al.  Semilinear copulas , 2008, Fuzzy Sets Syst..

[8]  Albert W. Marshall,et al.  Copulas, marginals, and joint distributions , 1996 .

[9]  R. Nelsen An Introduction to Copulas (Springer Series in Statistics) , 2006 .

[10]  Fabrizio Durante,et al.  A New Characterization of Bivariate Copulas , 2010 .

[11]  Bernard De Baets,et al.  Multivariate upper semilinear copulas , 2016, Inf. Sci..

[12]  George G. Lorentz,et al.  An Inequality for Rearrangements , 1953 .

[13]  C. Sempi,et al.  Principles of Copula Theory , 2015 .

[14]  I. Olkin,et al.  Inequalities: Theory of Majorization and Its Applications , 1980 .

[15]  Donald M. Topkis,et al.  Minimizing a Submodular Function on a Lattice , 1978, Oper. Res..

[16]  Berthold Schweizer,et al.  Probabilistic Metric Spaces , 2011 .

[17]  Abe Sklar,et al.  Random variables, joint distribution functions, and copulas , 1973, Kybernetika.

[18]  H. Joe Multivariate models and dependence concepts , 1998 .

[19]  B. Schweizer,et al.  Operations on distribution functions not derivable from operations on random variables , 1974 .