TY  - JOUR
EP  - 2301
ID  - eprints709
N2  - Given a copula C, we examine under which conditions on an order isomorphism ? of [0, 1] the distortion C ?: [0, 1]2 ? [0, 1], C ?(x, y) = ?{C[??1(x), ??1(y)]} is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on ? that ensures that any distortion of C by means of ? 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.
SP  - 2288
TI  - Distorted Copulas: Constructions and Tail Dependence
AV  - public
IS  - 12
KW  - Copula
KW  -  Distorted probability
KW  -  Isomorphic transformation
KW  -  Tail dependence
KW  -  TP2 property
Y1  - 2010///
A1  - Durante, Fabrizio
A1  - Foschi, Rachele
A1  - Sarkoci, Peter
UR  - http://www.tandfonline.com/doi/abs/10.1080/03610920903039506
JF  - Communications in Statistics - Theory and Methods
VL  - 39
ER  -