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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, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, LJK - Laboratoire Jean Kuntzmann
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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Submitted on : Friday, November 30, 2018 - 1:57:00 PM
Last modification on : Wednesday, November 3, 2021 - 7:51:48 AM
Long-term archiving on: : Friday, March 1, 2019 - 2:15:34 PM


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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⟩



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