Constructing copulas by means of pairsof order statistics

Title:

Constructing copulas by means of pairsof order statistics

Creator:

Dolati, Ali and Úbeda-Flores, Manuel

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:4e2bf03c-d6b0-4b11-969b-4be7e123b6b5
uuid:4e2bf03c-d6b0-4b11-969b-4be7e123b6b5

Subject:

copula, dependence ordering, FGM family, measure of association, symmetry, and transformation

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

In this paper, we introduce two transformations on a given copula to construct new and recover already-existent families. The method is based on the choice of pairs of order statistics of the marginal distributions. Properties of such transformations and their effects on the dependence and symmetry structure of a copula are studied.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[992]-1002

Source:

Kybernetika | 2009 Volume:45 | Number:6

Harvested from:

CDK

Metadata only:

false