Displaying similar documents to “On copulas that generalize semilinear copulas”

Modelling financial time series using reflections of copulas

Jozef Komorník, Magda Komorníková (2013)

Kybernetika

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We have intensified studies of reflections of copulas (that we introduced recently in [6]) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold.

Bivariate copulas: Transformations, asymmetry and measures of concordance

Sebastian Fuchs, Klaus D. Schmidt (2014)

Kybernetika

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The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transformed into an asymmetric one and (2) a condition under which for a given copula the value of every measure of concordance is equal to zero. The group also contains a subgroup which is of particular interest since its four elements preserve symmetry,...

A short note on multivariate dependence modeling

Vladislav Bína, Radim Jiroušek (2013)

Kybernetika

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As said by Mareš and Mesiar, necessity of aggregation of complex real inputs appears almost in any field dealing with observed (measured) real quantities (see the citation below). For aggregation of probability distributions Sklar designed his copulas as early as in 1959. But surprisingly, since that time only a very few literature have appeared dealing with possibility to aggregate several different pairwise dependencies into one multivariate copula. In the present paper this problem...

Sample d -copula of order m

José M. González-Barrios, María M. Hernández-Cedillo (2013)

Kybernetika

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In this paper we analyze the construction of d -copulas including the ideas of Cuculescu and Theodorescu [5], Fredricks et al. [15], Mikusiński and Taylor [25] and Trutschnig and Fernández-Sánchez [33]. Some of these methods use iterative procedures to construct copulas with fractal supports. The main part of this paper is given in Section 3, where we introduce the sample d -copula of order m with m ≥ 2 , the central idea is to use the above methodologies to construct a new copula based on...