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Constructing copulas by means of pairs of order statistics

29 citations0/0 files storedCzech digital mathematics library

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Financial Risk and Volatility Modeling Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

summary:In this paper, we introduce two transformations on a given copula to construct new and recover already-existent families. The method is based on the choice of pairs of order statistics of the marginal distributions. Properties of such transformations and their effects on the dependence and symmetry structure of a copula are studied.

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1999An Introduction to Copulas 2007Aggregation Functions: A Guide for Practitioners 1973Random variables, joint distribution functions, and copulas 2001Correlation and Dependence 1984On measures of concordance 2003A new class of bivariate copulas 2005A method to obtain new copulas from a given one 2007Construction of non-exchangeable bivariate distribution functions

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