Constructing copulas by means of pairs of order statistics

Ali Dolati; Manuel Úbeda-Flores

Kybernetika (2009)

  • Volume: 45, Issue: 6, page 992-1002
  • ISSN: 0023-5954

Abstract

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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.

How to cite

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Dolati, Ali, and Úbeda-Flores, Manuel. "Constructing copulas by means of pairs of order statistics." Kybernetika 45.6 (2009): 992-1002. <http://eudml.org/doc/37690>.

@article{Dolati2009,
abstract = {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.},
author = {Dolati, Ali, Úbeda-Flores, Manuel},
journal = {Kybernetika},
keywords = {copula; dependence ordering; FGM family; measure of association; symmetry; transformation; dependence ordering; FGM distribution; measures of association; symmetry},
language = {eng},
number = {6},
pages = {992-1002},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Constructing copulas by means of pairs of order statistics},
url = {http://eudml.org/doc/37690},
volume = {45},
year = {2009},
}

TY - JOUR
AU - Dolati, Ali
AU - Úbeda-Flores, Manuel
TI - Constructing copulas by means of pairs of order statistics
JO - Kybernetika
PY - 2009
PB - Institute of Information Theory and Automation AS CR
VL - 45
IS - 6
SP - 992
EP - 1002
AB - 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.
LA - eng
KW - copula; dependence ordering; FGM family; measure of association; symmetry; transformation; dependence ordering; FGM distribution; measures of association; symmetry
UR - http://eudml.org/doc/37690
ER -

References

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