Constructing copulas with given diagonal and opposite diagonal sections
- Author
- Bernard De Baets (UGent) , Hans De Meyer (UGent) and Manuel Úbeda-Flores
- Organization
- Abstract
- A method for constructing copulas with given diagonal and opposite diagonal sections is presented. It makes use of a recently developed method for constructing cross-copulas with given horizontal and vertical sections. Conditions guaranteeing the existence of a cross-copula with the given diagonal and opposite diagonal sections are derived. It is shown how the new method facilitates the construction of families of copulas that simultaneously model tail dependences of upper-upper, upper-lower, lower-lower and lower-upper type.
- Keywords
- SEMILINEAR COPULAS, TAIL DEPENDENCE, Copula, QUASI-COPULAS, Cross-copula, Lipschitz conditions, Diagonal section, Opposite diagonal section, 1-LIPSCHITZ AGGREGATION OPERATORS, Tail dependence
Downloads
-
(...).pdf
- full text
- |
- UGent only
- |
- |
- 194.18 KB
Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-2049114
- MLA
- De Baets, Bernard, et al. “Constructing Copulas with given Diagonal and Opposite Diagonal Sections.” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, vol. 40, no. 5, 2011, pp. 828–43, doi:10.1080/03610920903480866.
- APA
- De Baets, B., De Meyer, H., & Úbeda-Flores, M. (2011). Constructing copulas with given diagonal and opposite diagonal sections. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 40(5), 828–843. https://doi.org/10.1080/03610920903480866
- Chicago author-date
- De Baets, Bernard, Hans De Meyer, and Manuel Úbeda-Flores. 2011. “Constructing Copulas with given Diagonal and Opposite Diagonal Sections.” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 40 (5): 828–43. https://doi.org/10.1080/03610920903480866.
- Chicago author-date (all authors)
- De Baets, Bernard, Hans De Meyer, and Manuel Úbeda-Flores. 2011. “Constructing Copulas with given Diagonal and Opposite Diagonal Sections.” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 40 (5): 828–843. doi:10.1080/03610920903480866.
- Vancouver
- 1.De Baets B, De Meyer H, Úbeda-Flores M. Constructing copulas with given diagonal and opposite diagonal sections. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS. 2011;40(5):828–43.
- IEEE
- [1]B. De Baets, H. De Meyer, and M. Úbeda-Flores, “Constructing copulas with given diagonal and opposite diagonal sections,” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, vol. 40, no. 5, pp. 828–843, 2011.
@article{2049114,
abstract = {{A method for constructing copulas with given diagonal and opposite diagonal sections is presented. It makes use of a recently developed method for constructing cross-copulas with given horizontal and vertical sections. Conditions guaranteeing the existence of a cross-copula with the given diagonal and opposite diagonal sections are derived. It is shown how the new method facilitates the construction of families of copulas that simultaneously model tail dependences of upper-upper, upper-lower, lower-lower and lower-upper type.}},
author = {{De Baets, Bernard and De Meyer, Hans and Úbeda-Flores, Manuel}},
issn = {{0361-0926}},
journal = {{COMMUNICATIONS IN STATISTICS-THEORY AND METHODS}},
keywords = {{SEMILINEAR COPULAS,TAIL DEPENDENCE,Copula,QUASI-COPULAS,Cross-copula,Lipschitz conditions,Diagonal section,Opposite diagonal section,1-LIPSCHITZ AGGREGATION OPERATORS,Tail dependence}},
language = {{eng}},
number = {{5}},
pages = {{828--843}},
title = {{Constructing copulas with given diagonal and opposite diagonal sections}},
url = {{http://doi.org/10.1080/03610920903480866}},
volume = {{40}},
year = {{2011}},
}
- Altmetric
- View in Altmetric
- Web of Science
- Times cited: