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Copulas: compatibility and Fréchet classes

15 November 2007
Fabrizio Durante
E. Klement
J. Quesada-Molina
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Abstract

We determine under which conditions three bivariate copulas are compatible, viz. they are the bivariate marginals of the same trivariate copula, and, then, construct the class of these copulas. In particular, the upper and lower bounds for this class of trivariate copulas are determined.

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