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
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
相关论文
共 50 条
  • [31] On a new construction of 1-Lipschitz aggregation functions, quasi-copulas and copulas
    Kolesarova, Anna
    Mesiar, Radko
    Kalicka, Jana
    FUZZY SETS AND SYSTEMS, 2013, 226 : 19 - 31
  • [32] Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions
    Min, Aleksey
    Czado, Claudia
    JOURNAL OF FINANCIAL ECONOMETRICS, 2010, 8 (04) : 511 - 546
  • [33] New results on perturbation-based copulas
    Saminger-Platz, Susanne
    Kolesarova, Anna
    Seliga, Adam
    Mesiar, Radko
    Klement, Erich Peter
    DEPENDENCE MODELING, 2021, 9 (01): : 347 - 373
  • [34] A new family of copulas based on probability generating functions
    Zachariah, Swaroop Georgy
    Arshad, Mohd.
    Pathak, Ashok Kumar
    MATHEMATICA SLOVACA, 2024, 74 (04) : 1039 - 1060
  • [35] A New Characterization of Bivariate Copulas
    Durante, Fabrizio
    Jaworski, Piotr
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2010, 39 (16) : 2901 - 2912
  • [36] A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas
    Abdulhamid A. Alzaid
    Weaam M. Alhadlaq
    Bulletin of the Malaysian Mathematical Sciences Society, 2022, 45 : 477 - 504
  • [37] A new class of copulas involved geometric distribution: Estimation and applications
    Zhang, Kong-Sheng
    Lin, Jin-Guan
    Xu, Pei-Rong
    INSURANCE MATHEMATICS & ECONOMICS, 2016, 66 : 1 - 10
  • [38] A new extension of bivariate FGM copulas
    Amblard, Cecile
    Girard, Stephane
    METRIKA, 2009, 70 (01) : 1 - 17
  • [39] A new class of copulas having dependence range larger than FGM-type copulas
    Zachariah, Swaroop Georgy
    Arshad, Mohd.
    Pathak, Ashok Kumar
    STATISTICS & PROBABILITY LETTERS, 2024, 206
  • [40] New classes of power series bivariate copulas
    Roozegar, Rasool
    Nadarajah, Saralees
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 326 : 235 - 246