Transformation of a copula using the associated co-copula

DOI10.1515/DEMO-2018-0017MaRDI QIDQ2283652zbMATH OpenOpenAlexFDO

Authors Stéphane Girard

Publication date 13 January 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2018-0017

zbMATH Keywords

co-copulacopula

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

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• A new extension of bivariate FGM copulas
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• Constructing copulas by means of pairs of order statistics
• Copulas based on Marshall-Olkin machinery
• Distorted Copulas: Constructions and Tail Dependence
• How to improve the fit of Archimedean copulas by means of transforms
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Marshall-Olkin type copulas generated by a global shock
• Modelling total tail dependence along diagonals
• On a Measure of Dependence Between two Random Variables
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• On nonparametric measures of dependence for random variables
• On the distortion of a copula and its margins
• Principles of copula theory
• Solution to an open problem about a transformation on the space of copulas
• Some function classes related to the class of convex functions
• Spearman's footrule and Gini's gamma: a review with complements
• Transformations of copulas.

Cited in

(10)

• On structural properties of an asymmetric copula family and its statistical implication
• A family of transformed copulas with a singular component
• Reflection invariant copulas
• Solution to an open problem about a transformation on the space of copulas
• scientific article; zbMATH DE number 7447348 (Why is no real title available?)
• Constructing copulas by means of pairs of order statistics
• On grade transformation and its implications for copulas
• Multivariate copulas: transformations, symmetry, order and measures of concordance
• Transformations of copulas.
• Bivariate copulas: transformations, asymmetry and measures of concordance

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