New families of bivariate copulas via unit weibull distortion

Fadal A.A. Aldhufairi () and Jungsywan H. Sepanski ()
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Fadal A.A. Aldhufairi: Central Michigan University
Jungsywan H. Sepanski: Central Michigan University

Journal of Statistical Distributions and Applications, 2020, vol. 7, issue 1, 1-20

Abstract: Abstract This paper introduces a new family of bivariate copulas constructed using a unit Weibull distortion. Existing copulas play the role of the base or initial copulas that are transformed or distorted into a new family of copulas with additional parameters, allowing more flexibility and better fit to data. We present a general form for the new bivariate copula function and its conditional and density distributions. The tail behaviors are investigated and indicate the unit Weibull distortion may result in new copulas with upper tail dependence when the base copula has no upper tail dependence. The concordance ordering and Kendall’s tau are derived for the cases when the base copulas are Archimedean, such as the Clayton and Frank copulas. The Loss-ALEA data are analyzed to evaluate the performance of the proposed new families of copulas.

Keywords: Archimedean copula; Distortion function; Kendall’s tau; Weibull distribution; Tail dependence coefficient; Tail order (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1186/s40488-020-00110-z

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