Distorted Copulas: Constructions and Tail Dependence

DOI10.1080/03610920903039506zbMath1194.62075OpenAlexW2086289052MaRDI QIDQ3585317

Peter Sarkoci, Rachele Foschi, Fabrizio Durante

Publication date: 19 August 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://eprints.imtlucca.it/709/1/Durante_Foschi_Sarkoci.pdf

zbMATH Keywords

copuladistorted probabilitytail dependenceisomorphic transformationTP2 property

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items (30)

BIVARIATE MARSHALL–OLKIN EXPONENTIAL SHOCK MODEL ⋮ FGM generated archimedean copulas with concave multiplicative generators ⋮ MULTIVARIATE COMPOSITE COPULAS ⋮ On bivariate Kumaraswamy-distorted copulas ⋮ Joint modelling of the body and tail of bivariate data ⋮ A class of bivariate independence copula transformations ⋮ Estimating the parameters of a dependent model and applying it to environmental data set ⋮ Marshall-Olkin type copulas generated by a global shock ⋮ Unnamed Item ⋮ Extraction dependence structure of distorted copulas via a measure of dependence ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ A note on distortion effects on the strength of bivariate copula tail dependence ⋮ Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory ⋮ On Generators in Archimedean Copulas ⋮ Stochastic distortion and its transformed copula ⋮ A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Semi-copulas, capacities and families of level sets ⋮ Copulas, uncertainty, and false discovery rate control ⋮ Transformation of a copula using the associated co-copula ⋮ Kendall distributions and level sets in bivariate exchangeable survival models ⋮ New constructions of diagonal patchwork copulas ⋮ Distorted mix method for constructing copulas with tail dependence ⋮ A generalized bivariate lifetime distribution based on parallel-series structures ⋮ New families of bivariate copulas via unit Weibull distortion ⋮ Distortion representations of multivariate distributions ⋮ A family of transformed copulas with a singular component ⋮ A class of bivariate copula mappings ⋮ Solution to an open problem about a transformation on the space of copulas ⋮ Unnamed Item

Uses Software

• QRM

Cites Work

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