Fabrizio Durante, Juan Fernández-Sánchez (2011)
Kybernetika
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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.
Tomáš Bacigál, Vladimír Jágr, Radko Mesiar (2011)
Kybernetika
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The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. Application to different hydrological data is given.
Erich Peter Klement, Radko Mesiar, Endre Pap (2002)
Kybernetika
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Fabrizio Durante, Giovanni Puccetti, Matthias Scherer, Steven Vanduffel (2017)
Dependence Modeling
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Ali Dolati, Manuel Úbeda-Flores (2009)
Kybernetika
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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.