A method for constructing asymmetric pair-copula and its application

Dingfang Li, Yifan Gui, Yifan Li and Lihua Xiong

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 17, 4202-4214

Abstract: Pair-copula has become a hot spot in the research of both theory and application of statistics. Therefore, proper construction of pair-copula is an area worthy of study. Considering the asymmetry of variate dependence in practical applications and the disadvantages of the widely used asymmetric copulas, we propose a method to construct asymmetric pair-copula. In our method, we treat the asymmetric bivariate copula constructed by Liebscher's method as a generator, using this generator to construct asymmetric pair-copula. Also, on the basis of our method, we propose and prove a reference for selecting copula family in the construction. To verify the method, we construct asymmetric copulas and asymmetric pair-copulas using the daily runoff data collected at Yichang hydrological station to describe the extreme drought events of Yangtze River. After comparing the models in some aspects, we accept a model we construct, and the result displays the feasibility and practicality of the method we propose.

Date: 2018
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DOI: 10.1080/03610926.2017.1371755

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