Links between the Incomplete Gamma Function and the Independent and Gumbel Copulas,
Lien de l'article:
https://doi.org/10.1155/2024/2695842
Auteur(s):
Loyara Vini Yves Bernadin, Bagre Remi Guillaume, Bere Frédéric
Auteur(s) tagués:
Vini Yves Bernadin LOYARA ;
Résumé
To obtain the links between the incomplete gamma function and the two copulas (independent and Gumbel). We went through some integral function transformations. The transformations used are Laplace, Fourier, and Mellin. Our work can be seen as a bridge between the notion of copula in probability and Euler’s gamma function which has a lot of application in mathematical modeling. In short, a wide range of possibilities is offered to us thanks to these links that we have established.
Mots-clés
Copule VaR Fonction Gamma Tansformation intégrale