Sibuya copulas

Marius Hofert and Frédéric Vrins

Journal of Multivariate Analysis, 2013, vol. 114, issue C, 318-337

Abstract: A new class of copulas referred to as “Sibuya copulas” is introduced and its properties are investigated. Members of this class are of a functional form which was first investigated in the work of M. Sibuya. The construction of Sibuya copulas is based on an increasing stochastic process whose Laplace–Stieltjes transform enters the copula as a parameter function. Sibuya copulas also allow for idiosyncratic parameter functions and are thus quite flexible to model asymmetric dependences. If the stochastic process is allowed to have jumps, Sibuya copulas may have a singular component. Depending on the choice of the process, they may be extreme-value copulas, Lévy-frailty copulas, or Marshall–Olkin copulas. Further, as a special symmetric case, one may obtain any Archimedean copula with Laplace–Stieltjes transform as generator. Besides some general properties of Sibuya copulas, several examples are given and their properties are investigated in more detail.

Keywords: Sibuya form; Stochastic processes; Poisson process; Archimedean copulas (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Working Paper: Sibuya copulas (2013)
Working Paper: Sibuya copulas (2010)
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DOI: 10.1016/j.jmva.2012.08.007

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