Transformation of a copula using the associated co-copula

Girard Stéphane
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Girard Stéphane: Univ. Grenoble Alpes, Inria, CNRS, Grenoble INP, LJK, 38000Grenoble, France

Dependence Modeling, 2018, vol. 6, issue 1, 298-308

Abstract: We investigate the properties of a new transformation of copulas based on the co-copula and an univariate function. It is shown that several families in the copula literature can be interpreted as particular outputs of this transformation. Symmetry, association, ordering and dependence properties of the resulting copula are established.

Keywords: Copula; co-copula (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:6:y:2018:i:1:p:298-308:n:17

DOI: 10.1515/demo-2018-0017

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