Absolutely continuous copulas obtained by regularization of the Frechét--Hoeffding bounds
Oscar Björnham,
Niklas Brännström,
Leif Persson
Abstract:We show that the lower and upper Frechét-Hoeffding copulas, which are singular, can be regularized to absolutely continuous copulas. The method, which is constructive and explicit, states sufficient conditions for when an absolutely continuous copula can be achieved by averaging. A higher degree of regularisation cannot be achieved with the proposed method.
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