Gluing copulas

Karl Friedrich Siburg and Pavel A. Stoimenov

No 2007,31, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We present a new way of constructing bivariate copulas, by recalling and gluing two (or more) copulas. Examples illustrate how this construction can be applied to build complicated copulas from simple ones.

Date: 2007
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