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

页码：3383 / 3391

页数：9

共 40 条

[1] Symmetry and dependence properties within a semiparametric family of bivariate copulas [J].