A New Family of Copulas, with Application to Estimation of a Production Frontier System

Christine Amsler, Artem Prokhorov and Peter Schmidt

No BAWP-2019-04, Working Papers from University of Sydney Business School, Discipline of Business Analytics

Abstract: In this paper we propose a new family of copulas for which the copula arguments are uncorrelated but dependent. Specifically, if w1 and w2 are the uniform random variables in the copula, they are uncorrelated, but w1 is correlated with |w2 - ½|. We show how this family of copulas can be applied to the error structure in an econometric production frontier model. We also generalize the family of copulas to three or more dimensions, and we give an empirical application.

Keywords: copulas (search for similar items in EconPapers)
Date: 2019-03-25
New Economics Papers: this item is included in nep-ecm
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http://hdl.handle.net/2123/20203

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Journal Article: A new family of copulas, with application to estimation of a production frontier system (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:syb:wpbsba:2123/20203

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