Exercise 8.5 For > 0, we set (a) Identify the copula family. (b) Find the following

Exercise 8.5 For θ > 0, we set

(a) Identify the copula family.

(b) Find the following limits:
(i) limθ→0 Cθ(u1, u2);
(ii) limθ→∞ Cθ(u1, u2);
(iii) limθ→−∞ Cθ(u1, u2).

(c) For θ fixed, find the Rosenblatt transform.

(d) For θ fixed, find the inverse Rosenblatt transform.

Transcribed Image Text:

Co(1,2)=+u-1, u, uz E [0,1]. (8.47)