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Constructing copulas with given diagonal and opposite diagonal sections

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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

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Citation

Please use this url to cite or link to this publication:

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.
@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},
}

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