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Constructing copulas with given diagonal and opposite diagonal sections

Bernard De Baets UGent, Hans De Meyer UGent and Manuel Úbeda-Flores (2011) COMMUNICATIONS IN STATISTICS-THEORY AND METHODS. 40(5). p.828-843
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.
Please use this url to cite or link to this publication:
author
organization
year
type
journalArticle (original)
publication status
published
subject
keyword
SEMILINEAR COPULAS, TAIL DEPENDENCE, Copula, QUASI-COPULAS, Cross-copula, Lipschitz conditions, Diagonal section, Opposite diagonal section, 1-LIPSCHITZ AGGREGATION OPERATORS, Tail dependence
journal title
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
Commun. Stat.-Theory Methods
volume
40
issue
5
pages
828 - 843
Web of Science type
Article
Web of Science id
000294947300001
JCR category
STATISTICS & PROBABILITY
JCR impact factor
0.274 (2011)
JCR rank
109/116 (2011)
JCR quartile
4 (2011)
ISSN
0361-0926
DOI
10.1080/03610920903480866
language
English
UGent publication?
yes
classification
A1
copyright statement
I have transferred the copyright for this publication to the publisher
id
2049114
handle
http://hdl.handle.net/1854/LU-2049114
date created
2012-02-28 13:57:56
date last changed
2012-06-11 15:54:47
@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 {\'U}beda-Flores, Manuel},
  issn         = {0361-0926},
  journal      = {COMMUNICATIONS IN STATISTICS-THEORY AND METHODS},
  keyword      = {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://dx.doi.org/10.1080/03610920903480866},
  volume       = {40},
  year         = {2011},
}

Chicago
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.
APA
De Baets, Bernard, 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.
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.
MLA
De Baets, Bernard, Hans De Meyer, and Manuel Úbeda-Flores. “Constructing Copulas with Given Diagonal and Opposite Diagonal Sections.” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 40.5 (2011): 828–843. Print.