relation: http://eprints.imtlucca.it/709/
title: Distorted Copulas: Constructions and Tail Dependence
creator: Durante, Fabrizio
creator: Foschi, Rachele
creator: Sarkoci, Peter
subject: HA Statistics
subject: HB Economic Theory
description: 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.
date: 2010
type: Article
type: PeerReviewed
format: application/pdf
language: en
identifier: http://eprints.imtlucca.it/709/1/Durante_Foschi_Sarkoci.pdf
identifier:   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)  
relation: http://www.tandfonline.com/doi/abs/10.1080/03610920903039506
relation: 10.1080/03610920903039506