Curvilinear patchwork constructions of (quasi-)copulas with given curvilinear sections

被引:1
作者
Xie, Jiehua [1 ]
Wu, Biyao [1 ]
Zou, Wei [2 ]
Jiang, Chenyu [1 ]
机构
[1] Nanchang Inst Technol, Sch Business Adm, Nanchang 330099, Jiangxi, Peoples R China
[2] Nanchang Inst Technol, Sch Sci, Nanchang 330099, Jiangxi, Peoples R China
基金
中国国家自然科学基金;
关键词
Curvilinear patchwork; Copula; Quasi-copula; Simple curvilinear section; Best-possible bound; COPULAS; ASYMMETRY; RESPECT; SETS;
D O I
10.1016/j.fss.2023.108720
中图分类号
TP301 [理论、方法];
学科分类号
081202 ;
摘要
In this paper, we focus on constructions of (quasi-)copulas with a given curvilinear section by the curvilinear patchwork operation. It is shown that the curvilinear patchwork of any two quasi-copulas with a common curvilinear section is always a quasi-copula, and some sufficient conditions for the curvilinear patchwork of two copulas with a common curvilinear section to be a copula are also provided. The density, the singular component and tail dependence coefficients of copulas constructed by the curvilinear patchwork operation are discussed. The concept of a simple curvilinear section is introduced, and an elementary way of creating copulas with simple curvilinear sections is developed by the curvilinear patchwork construction. Best-possible bounds for the set of copulas with a common simple curvilinear section are given. By the curvilinear patchwork construction, two generalized bound copulas with given curvilinear sections and a new extension of the Farlie-Gumbel-Morgenstern family of copulas are also proposed.
引用
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页数:23
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