On Truncation Invariant Copulas and their Estimation
Abstract: The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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On Truncation Invariant Copulas and their Estimation ; volume:5 ; number:1 ; year:2017 ; pages:133-144 ; extent:12
Dependence modeling ; 5, Heft 1 (2017), 133-144 (gesamt 12)
- Creator
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Jaworski, Piotr
- DOI
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10.1515/demo-2017-0009
- URN
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urn:nbn:de:101:1-2411181543064.624313358510
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:30 AM CEST
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Associated
- Jaworski, Piotr
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