A method to obtain new copulas from a given one

Patricia Mariela Morillas ()

Metrika: International Journal for Theoretical and Applied Statistics, 2005, vol. 61, issue 2, 169-184

Abstract: Given a strictly increasing continuous function φ from [0, 1] to [0, 1] and its pseudo-inverse φ [−1] , conditions that φ must satisfy for C φ (x 1 , . . . ,x n )=φ [−1] (C(φ(x 1 ), . . . ,φ(x n ))) to be a copula for any copula C are studied. Some basic properties of the copulas obtained in this way are analyzed and several examples of generator functions φ that can be used to construct copulas C φ are presented. In this manner, a method to obtain from a given copula C a variety of new copulas is provided. This method generalizes that used to construct Archimedean copulas in which the original copula C is the product copula, and it is related with mixtures Copyright Springer-Verlag 2005

Keywords: Probability distributions with given marginals; copulas; Archimedean copulas; mixtures (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:metrik:v:61:y:2005:i:2:p:169-184

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DOI: 10.1007/s001840400330

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