eprintid: 709
rev_number: 12
eprint_status: archive
userid: 19
dir: disk0/00/00/07/09
datestamp: 2011-07-06 10:28:16
lastmod: 2011-07-11 14:37:42
status_changed: 2011-07-06 10:28:16
type: article
metadata_visibility: show
item_issues_count: 0
creators_name: Durante, Fabrizio
creators_name: Foschi, Rachele
creators_name: Sarkoci, Peter
creators_id: 
creators_id: rachele.foschi@imtlucca.it
creators_id: 
title: Distorted Copulas: Constructions and Tail Dependence
ispublished: pub
subjects: HA
subjects: HB
divisions: EIC
full_text_status: public
keywords: Copula, Distorted probability, Isomorphic transformation, Tail dependence, TP2 property
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.
date: 2010
date_type: published
publication: Communications in Statistics - Theory and Methods
volume: 39
number: 12
pagerange: 2288-2301
id_number: 10.1080/03610920903039506
refereed: TRUE
official_url: http://www.tandfonline.com/doi/abs/10.1080/03610920903039506
citation:   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)  
document_url: http://eprints.imtlucca.it/709/1/Durante_Foschi_Sarkoci.pdf