Transformation of a copula using the associated co-copula
Abstract: We 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.
- 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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Transformation of a copula using the associated co-copula ; volume:6 ; number:1 ; year:2018 ; pages:298-308 ; extent:11
Dependence modeling ; 6, Heft 1 (2018), 298-308 (gesamt 11)
- Creator
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Girard, Stéphane
- DOI
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10.1515/demo-2018-0017
- URN
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urn:nbn:de:101:1-2411181532000.340781090416
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:35 AM CEST
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Associated
- Girard, Stéphane
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