Exact upper bound for copulas with a given diagonal section
arXiv:2308.02220 · doi:10.1016/j.fss.2024.108865
Abstract
We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas with a given diagonal section and construct a copula that attains it. We derive a formula for the maximal asymmetry that is simple enough to be used by practitioners.
28 pages