Durante, Fabrizio and Foschi, Rachele and Sarkoci, Peter Distorted Copulas: Constructions and Tail Dependence. Communications in Statistics - Theory and Methods, 39 (12). pp. 2288-2301. (2010)
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Official URL: http://www.tandfonline.com/doi/abs/10.1080/0361092...
Abstract
Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1] the distortion C ψ: [0, 1]2 → [0, 1], C ψ(x, y) = ψ{C[ψ−1(x), ψ−1(y)]} is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on ψ that ensures that any distortion of C by means of ψ is again a copula. The presented results allow us to introduce in a more flexible way families of copulas exhibiting different behavior in the tails.
| Item Type: | Article |
|---|---|
| Identification Number: | https://doi.org/10.1080/03610920903039506 |
| Uncontrolled Keywords: | Copula, Distorted probability, Isomorphic transformation, Tail dependence, TP2 property |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Users 19 not found. |
| Date Deposited: | 06 Jul 2011 10:28 |
| Last Modified: | 11 Jul 2011 14:37 |
| URI: | http://eprints.imtlucca.it/id/eprint/709 |
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