Markov product invariance in classes of bivariate copulas characterized by univariate functions

Abstract

We extend and sharpen some results in the literature concerning the notion of Markov product idempotence in some well-known classes of copulas. Focusing on families of copulas which are characterized by univariate functions we show that in the class of extreme-value copulas, in the class of diagonal copulas and in some special class of copulas represented by measure-preserving transformations only the usual suspects (if contained in the class) are idempotent, namely the product copula Π and minimum copula M. Additionally, we prove a conjecture going back to Albanese and Sempi in 2016 saying that the only idempotent Archimedean copula is the product copula Π.