Transformation of a copula using the associated co-copula-Reference-Cited by-同舟云学术

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Transformation of a copula using the associated co-copula

Published:2018-12-01 Issue:1 Volume:6 Page:298-308
ISSN:2300-2298
Container-title:Dependence Modeling
language:
Short-container-title:

Author:

Girard Stéphane¹

Affiliation:

1. 1Univ. Grenoble Alpes, Inria, CNRS, Grenoble INP, LJK, 38000Grenoble, France

Abstract

AbstractWe investigate the properties of a new transformation of copulas based on the co-copula and an univariate function. It is shown that several families in the copula literature can be interpreted as particular outputs of this transformation. Symmetry, association, ordering and dependence properties of the resulting copula are established.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/demo-2018-0017/pdf

Reference18 articles.

1. Principles of Copula Theory;Durante,2016

2. Solution to an open problem about a transformation on the space of copulas Depend Model;Durante,2014

3. An Introduction to Copulas Second edition New York;Nelsen,2006

4. On the distortion of a copula and its margins;Valdez;Scand Actuar J,2011

5. new extension of bivariate FGM copulas;Amblard;Metrika,2009

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Generalized Single-Valued Neutrosophic Power Aggregation Operators Based on Archimedean Copula and Co-Copula and Their Application to Multi-Attribute Decision-Making;IEEE Access;2020

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