Semi-polynomial copulas

Juan Fernández Sánchez and Manuel Úbeda-Flores

Journal of Nonparametric Statistics, 2014, vol. 26, issue 1, 129-140

Abstract: In this paper, we characterise a family of bivariate copulas whose sections between the main diagonal and the border of the unit square are polynomial, generalising several families of copulas, including those with quadratic and cubic sections. We also study a measure of association and the tail dependence for this class, illustrating our results with several examples.

Date: 2014
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DOI: 10.1080/10485252.2013.839788

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