%V 39
%T Distorted Copulas: Constructions and Tail Dependence
%P 2288-2301
%R 10.1080/03610920903039506
%N 12
%J Communications in Statistics - Theory and Methods
%X 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.
%L eprints709
%D 2010
%K Copula, Distorted probability, Isomorphic transformation, Tail dependence, TP2 property
%A Fabrizio Durante
%A Rachele Foschi
%A Peter Sarkoci