A note on distortion effects on the strength of bivariate copula tail dependence

Jungsywan H. Sepanski

Statistics & Probability Letters, 2020, vol. 166, issue C

Abstract: This note presents relationships between a base copula and the copula induced by distortion of the base copula in the strength of tail dependence measured by tail dependence coefficients and tail orders. We derive a theorem that determines the relationships for distortion functions satisfying conditions related to regular variation. In addition to the well-known logarithmic, power and dual-power distortions, Lomax-distribution and Weibull-distribution based distortions are considered. The results can be readily applied to distortions constructed by compositions of the considered distortions.

Keywords: Copula; Distortion; Regular variation; Tail dependence coefficient; Tail order (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715220301978
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:166:y:2020:i:c:s0167715220301978

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2020.108894

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().