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Distorted Copulas: Constructions and Tail Dependence

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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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: 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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