On New Types of Multivariate Trigonometric Copulas

Author:

Chesneau Christophe

Abstract

Copulas are useful functions for modeling multivariate distributions through their univariate marginal distributions and dependence structures. They have a wide range of applications in all fields of science that deal with multivariate data. While there is a plethora of copulas, those based on trigonometric functions, especially in dimensions greater than two, have received much less attention. They are, however, of interest because of the properties of oscillation and periodicity of the trigonometric functions, which can appear in certain models of correlation of natural phenomena. In order to fill this gap, this paper introduces and investigates two new types of “multivariate trigonometric copulas”. Their main theoretical properties are studied, and some perspectives for applications are sketched for future work. In particular, we show that the proposed copulas are symmetric, not associative, with no orthant dependence, and with copula densities that have wide oscillations, which remains an uncommon property in the field. The expressions of their multivariate Spearman’s rho are also determined. Furthermore, the first type of the proposed copulas has the interesting feature of having a multivariate Spearman’s rho equal to 0 for all of the dimensions. Some graphic evidence supports the findings. Some mathematical formulas involving the product of n trigonometric functions may be of independent interest.

Publisher

MDPI AG

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