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Displaying similar documents to “Characterizations of bivariate conic, extreme value, and Archimax copulas”

My introduction to copulas

Fabrizio Durante, Giovanni Puccetti, Matthias Scherer, Steven Vanduffel (2017)

Dependence Modeling

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Constructing copulas by means of pairs of order statistics

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.

Univariate conditioning of copulas

Radko Mesiar, Vladimír Jágr, Monika Juráňová, Magda Komorníková (2008)

Kybernetika

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The univariate conditioning of copulas is studied, yielding a construction method for copulas based on an a priori given copula. Based on the gluing method, g-ordinal sum of copulas is introduced and a representation of copulas by means of g-ordinal sums is given. Though different right conditionings commute, this is not the case of right and left conditioning, with a special exception of Archimedean copulas. Several interesting examples are given. Especially, any Ali-Mikhail-Haq copula...

Invariant copulas

Erich Peter Klement, Radko Mesiar, Endre Pap (2002)

Kybernetika

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Orbital semilinear copulas

Tarad Jwaid, Bernard de Baets, Hans de Meyer (2009)

Kybernetika

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We introduce four families of semilinear copulas (i.e. copulas that are linear in at least one coordinate of any point of the unit square) of which the diagonal and opposite diagonal sections are given functions. For each of these families, we provide necessary and sufficient conditions under which given diagonal and opposite diagonal functions can be the diagonal and opposite diagonal sections of a semilinear copula belonging to that family. We focus particular attention on the family...

A note on biconic copulas

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.