On a Rosenblatt-type transformation of multivariate copulas

Evgeniy Savinov and Victoria Shamraeva

Econometrics and Statistics, 2023, vol. 25, issue C, 39-48

Abstract: A new family of multivariate copulas constructed from existing copulas by transforming the corresponding random variables using their conditional distributions are introduced. It is shown that for symmetrical copulas in a triangular scheme, this transformation tends to asymptotic independence.

Keywords: Rosenblatt transformation; cross independence; exchangeable variables; symmetric copulas; asymptotic independence (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:25:y:2023:i:c:p:39-48

DOI: 10.1016/j.ecosta.2021.10.016

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