COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS-Reference-Cited by-同舟云学术

COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS

Published:2007-08 Issue:04 Volume:15 Page:397-410
ISSN:0218-4885
Container-title:International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems
language:en
Short-container-title:Int. J. Unc. Fuzz. Knowl. Based Syst.

Author:

DURANTE FABRIZIO¹,KOLESÁROVÁ ANNA²,MESIAR RADKO³⁴,SEMPI CARLO⁵

Affiliation:

1. Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, 4040 Linz, Austria

2. Institute of Information Engineering, Automation and Mathematics, Slovak University of Technology, 812 37 Bratislava, Slovakia

3. Department of Mathematics and Descriptive Geometry, SvF, Slovak University of Technology, 813 68 Bratislava, Slovakia

4. Institute of Information and Automation, Czech Academy of Sciences, 182 08 Prague, Czech Republic

5. Dipartimento di Matematica "Ennio De Giorgi", Università del Salento, 73100 Lecce, Italy

Abstract

In this paper, we present some methods for constructing copulas with a given diagonal section that are not necessarily symmetric. An interesting application for the construction of copulas with given tail dependence coefficients is, hence, provided.

Publisher

World Scientific Pub Co Pte Lt

Subject

Artificial Intelligence,Information Systems,Control and Systems Engineering,Software

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218488507004753

Reference26 articles.

1. Copula Methods in Finance

2. Understanding Relationships Using Copulas

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