| HAL-Inria | Publications, software ... of Inria's scientists |
Journal articles
Symmetry and dependence properties within a semiparametric family of bivariate copulas
Abstract : In this paper, we study a semiparametric family of bivariate copulas. The family is generated by an univariate function, determining the symmetry (radial symmetry, joint symmetry) and dependence property (quadrant dependence, total positivity, ...) of the copulas. We provide bounds on different measures of association (such as Kendall's Tau, Spearman's Rho) for this family and several choices of generating functions allowing to reach these bounds.
Cited literature [16 references]
https://hal.inria.fr/hal-00990374
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Tuesday, May 13, 2014 - 3:09:54 PM
Last modification on : Thursday, January 20, 2022 - 5:27:11 PM
Long-term archiving on: : Monday, April 10, 2017 - 10:01:26 PM
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Tuesday, May 13, 2014 - 3:09:54 PM
Last modification on : Thursday, January 20, 2022 - 5:27:11 PM
Long-term archiving on: : Monday, April 10, 2017 - 10:01:26 PM
File
copule_complet3.pdf
Files produced by the author(s)