Transformation of a copula using the associated co-copula

Stéphane Girard 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : We investigate the properties of a new transformation of copulas based on the co-copula and an univariate function. It is shown that several families in the copula literature can be interpreted as particular outputs of this transformation. Symmetry, association, ordering and dependence properties of the resulting copula are established.
Document type :
Journal articles
Complete list of metadatas

https://hal.inria.fr/hal-01881969
Contributor : Stephane Girard <>
Submitted on : Friday, November 30, 2018 - 1:57:00 PM
Last modification on : Thursday, April 11, 2019 - 10:18:41 AM
Long-term archiving on : Friday, March 1, 2019 - 2:15:34 PM

File

transformation-cocopula3.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

Stéphane Girard. Transformation of a copula using the associated co-copula. Dependence Modeling, De Gruyter, 2018, 6 (1), pp.298-308. ⟨10.1515/demo-2018-0017⟩. ⟨hal-01881969v2⟩

Share

Metrics

Record views

56

Files downloads

309