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On a Generalized ∗*∗-Product for Copulas

7 April 2012
Pongpol Ruankong
S. Sumetkijakan
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Abstract

This paper focuses on a generalization of the *-product called C\mathbf{C}C-product. This product, first introduced by Durante, Klement and Quesada-Molina, was used to characterize classes of compatible copulas. The C\mathbf{C}C-product of copulas AAA and BBB is defined to be an integral of a function which involves the copulas AAA and BBB and the family of copulas C\mathbf{C}C. However, measurability of the integrand in the definition is questionable. We will discuss this in details and attempt to re-define the product. Then we derive some properties of the re-defined product.

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