New Families of Copulas Based on Periodic Functions

DOI10.1081/STA-200063351zbMath1071.62047OpenAlexW2011880302MaRDI QIDQ5314576

Damiano Brigo, Aurélien Alfonsi

Publication date: 5 September 2005

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

Full work available at URL: https://doi.org/10.1081/sta-200063351

zbMATH Keywords

Schur functionssimulationArchimedean copulaGaussian copulacopula functionsdependence modelingFrechét boundsn-dimensional copulassmooth periodic copulas

Mathematics Subject Classification ID

Related Items (13)

Construction of asymmetric copulas and its application in two-dimensional reliability modelling ⋮ A new family of symmetric bivariate copulas ⋮ A distribution for a pair of unit vectors generated by Brownian motion ⋮ Goodness-of-fit tests for elliptical and independent copulas through projection pursuit ⋮ On a class of circulas: copulas for circular distributions ⋮ A method for constructing asymmetric pair-copula and its application ⋮ Construction of asymmetric multivariate copulas ⋮ Dependence properties and Bayesian inference for asymmetric multivariate copulas ⋮ A class of models for uncorrelated random variables ⋮ On an asymmetric extension of multivariate Archimedean copulas based on quadratic form ⋮ Spatially homogeneous copulas ⋮ Gluing Copulas ⋮ On the identifiability of copulas in bivariate competing risks models

Cites Work

• Unnamed Item
• Unnamed Item
• Fitting bivariate cumulative returns with copulas
• An introduction to copulas. Properties and applications
• Fitting bivariate loss distributions with copulas
• Copula convergence theorems for tail events.
• Supermodular dependence ordering on a class of multivariate copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• A note on adjusting correlation matrices
• Inequalities: theory of majorization and its applications

This page was built for publication: New Families of Copulas Based on Periodic Functions