On Truncation Invariant Copulas and their Estimation
Dependence Modeling (2017)
- Volume: 5, Issue: 1, page 133-144
- ISSN: 2300-2298
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topPiotr Jaworski. "On Truncation Invariant Copulas and their Estimation." Dependence Modeling 5.1 (2017): 133-144. <http://eudml.org/doc/288547>.
@article{PiotrJaworski2017,
abstract = {The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators.},
author = {Piotr Jaworski},
journal = {Dependence Modeling},
language = {eng},
number = {1},
pages = {133-144},
title = {On Truncation Invariant Copulas and their Estimation},
url = {http://eudml.org/doc/288547},
volume = {5},
year = {2017},
}
TY - JOUR
AU - Piotr Jaworski
TI - On Truncation Invariant Copulas and their Estimation
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 133
EP - 144
AB - The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators.
LA - eng
UR - http://eudml.org/doc/288547
ER -
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