TL;DR
This paper demonstrates that linear B-spline copulas are not a new class but are equivalent to checkerboard copulas, clarifying their role in extending empirical subcopulas to full copulas.
Contribution
It proves the equivalence between linear B-spline copulas and checkerboard copulas, clarifying their relationship and usage in copula theory.
Findings
Linear B-spline copulas are equivalent to checkerboard copulas.
They are used to extend empirical subcopulas to copulas.
The equivalence simplifies understanding of copula extensions.
Abstract
In this brief note we prove that linear B-spline copulas is not a new family of copulas since they are equivalent to checkerboard copulas, and discuss in particular how they are used to extend empirical subcopulas to copulas.
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Taxonomy
TopicsFinancial Risk and Volatility Modeling · Statistical Methods and Inference · Stochastic processes and financial applications