A note on biconic copulas

Fabrizio Durante; Juan Fernández-Sánchez

Kybernetika (2011)

  • Volume: 47, Issue: 4, page 532-540
  • ISSN: 0023-5954

Abstract

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We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Fréchet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.

How to cite

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Durante, Fabrizio, and Fernández-Sánchez, Juan. "A note on biconic copulas." Kybernetika 47.4 (2011): 532-540. <http://eudml.org/doc/197024>.

@article{Durante2011,
abstract = {We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Fréchet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.},
author = {Durante, Fabrizio, Fernández-Sánchez, Juan},
journal = {Kybernetika},
keywords = {copulas; diagonal section; probability mass distribution; tail dependence; diagonal section; probability mass distribution; tail dependence},
language = {eng},
number = {4},
pages = {532-540},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A note on biconic copulas},
url = {http://eudml.org/doc/197024},
volume = {47},
year = {2011},
}

TY - JOUR
AU - Durante, Fabrizio
AU - Fernández-Sánchez, Juan
TI - A note on biconic copulas
JO - Kybernetika
PY - 2011
PB - Institute of Information Theory and Automation AS CR
VL - 47
IS - 4
SP - 532
EP - 540
AB - We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Fréchet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.
LA - eng
KW - copulas; diagonal section; probability mass distribution; tail dependence; diagonal section; probability mass distribution; tail dependence
UR - http://eudml.org/doc/197024
ER -

References

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