Construction of bivariate symmetric and asymmetric copulas and its relationship to ratios of conditional hazard rate functions

Jan W. H. Swanepoel

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 14, 5280-5296

Abstract: A new method for the construction of both symmetric and asymmetric, absolutely continuous bivariate copulas is introduced. This research was inspired by the well-known cross ratio (CR), studied by Clayton (1978), which is a local dependence measure describing the association between the components of a bivariate random vector, as well as by an alternative risk ratio (RR) proposed recently by Abrams et al. (2022), which unravels the local relation between the two components of the vector. The practical meaning of RR is illustrated in two real data sets by the authors. In this article, various properties of the proposed parametric families of copulas are studied, for example quadrant dependence ordering, tail dependence coefficients and several copula-based measures of dependence. Some relationships of the copulas to RR are discussed and illustrative scatterplots are presented.

Date: 2024
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DOI: 10.1080/03610926.2023.2218505

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