1. A note on biconic copulas
- Creator:
- Durante, Fabrizio and Fernández-Sánchez, Juan
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- copulas, diagonal section, probability mass distribution, and tail dependence
- Language:
- English
- Description:
- We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Fréchet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public