A method to obtain new copulas from a given one

Morillas, Patricia Mariela

doi:10.1007/s001840400330

Artículo

A method to obtain new copulas from a given one

Morillas, Patricia Mariela Icon

Fecha de publicación: 04/2005

Editorial: Springer Verlag Berlín

Revista: Metrika

ISSN: 0026-1335

e-ISSN: 1435-926X

Idioma: Inglés

Tipo de recurso: Artículo publicado

Clasificación temática:

Estadística y Probabilidad

Resumen

Given a strictly increasing continuous function φ from [0, 1] to [0, 1] and its pseudo-inverse φ[−1], conditions that φ must satisfy for C φ (x1, . . . ,xn)=φ[−1](C(φ(x1), . . . ,φ(xn))) to be a copula for any copula C are studied. Some basic properties of the copulas obtained in this way are analyzed and several examples of generator functions φ that can be used to construct copulas C φ are presented. In this manner, a method to obtain from a given copula C a variety of new copulas is provided. This method generalizes that used to construct Archimedean copulas in which the original copula C is the product copula, and it is related with mixtures.

Palabras clave: PROBABILITY DISTRIBUTIONS WITH GIVEN MARGINALS , COPULAS , ARCHIMEDEAN COPULAS , MIXTURES

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Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Atribución-NoComercial-SinDerivadas 2.5 Argentina (CC BY-NC-ND 2.5 AR)

Identificadores

URI: http://hdl.handle.net/11336/159522

URL: https://link.springer.com/article/10.1007/s001840400330

DOI: http://dx.doi.org/10.1007/s001840400330

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Citación

Morillas, Patricia Mariela; A method to obtain new copulas from a given one; Springer Verlag Berlín; Metrika; 61; 2; 4-2005; 169-184

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