A semiparametric family of symmetric bivariate copulas

被引:2
作者
Amblard, C
Girard, S
机构
[1] Univ Montreal, CRM, Montreal, PQ H3C 3J7, Canada
[2] Univ Montpellier 2, Lab Probabilites & Stat, F-34095 Montpellier 5, France
来源
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2001年 / 333卷 / 02期
关键词
D O I
10.1016/S0764-4442(01)02011-0
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We study a semiparametric family of symmetric copulas generalizing symmetric copulas with polynomial sections. We provide simple expressions to measure the dependence introduced by a copula of this family. We show that this family can model higher dependence than copulas with polynomial sections, preserving both the low complexity of the functional description and the classical dependence properties. (C) 2001 Academic des sciences/Editions scientifiques et medicales Elsevier SAS.
引用
收藏
页码:129 / 132
页数:4
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