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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.
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Contributor : Stephane Girard <>
Submitted on : Wednesday, September 26, 2018 - 2:37:03 PM
Last modification on : Thursday, March 26, 2020 - 8:49:33 PM
Document(s) archivé(s) le : Thursday, December 27, 2018 - 4:59:14 PM


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  • HAL Id : hal-01881969, version 1


Stéphane Girard. Transformation of a copula using the associated co-copula. 2018. ⟨hal-01881969v1⟩



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