On Truncation Invariant Copulas and their Estimation

Jaworski Piotr ()
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Jaworski Piotr: Institute of Mathematics, University of Warsaw, Poland

Dependence Modeling, 2017, vol. 5, issue 1, 133-144

Abstract: The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:133-144:n:9

DOI: 10.1515/demo-2017-0009

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