New constructions of diagonal patchwork copulas

被引：28
作者：
Durante, Fabrizio [2 ]
Antonio Rodriguez-Lallena, Jose [1 ]
Ubeda-Flores, Manuel [1 ]
机构：
[1] Univ Almeria, Dept Estadist & Matemat Aplicada, La Canada De San Urbano 04120, Almeria, Spain
[2] Johannes Kepler Univ Linz, Dept Knowledge Based Math Syst, A-4040 Linz, Austria
来源：
INFORMATION SCIENCES | 2009年 / 179卷 / 19期
关键词：
Copula; Farlie-Gumbel-Morgenstern distribution; Patchwork construction; Transformation of copulas; BIVARIATE; DEPENDENCE; FAMILY;
D O I：
10.1016/j.ins.2009.06.007
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We present a method for constructing symmetric copulas which generalizes the diagonal patchwork construction of copulas procedure. We also show how it is related to a new construction of a generalized Farlie-Gumbel-Morgenstern distribution and to the copula transforms. (C) 2009 Elsevier Inc. All rights reserved.
引用
收藏
页码：3383 / 3391
页数：9
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