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BY 4.0 license Open Access Published by De Gruyter Open Access October 28, 2021

New results on perturbation-based copulas

  • Susanne Saminger-Platz ORCID logo , Anna Kolesárová ORCID logo , Adam Šeliga ORCID logo , Radko Mesiar ORCID logo and Erich Peter Klement ORCID logo
From the journal Dependence Modeling

Abstract

A prominent example of a perturbation of the bivariate product copula (which characterizes stochastic independence) is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled. We introduce and discuss several perturbations, some of them perturbing the product copula, while others perturb general copulas. A particularly interesting case is the perturbation of the product based on two functions in one variable where we highlight several special phenomena, e.g., extremal perturbed copulas. The constructions of the perturbations in this paper include three different types of ordinal sums as well as flippings and the survival copula. Some particular relationships to the Markov product and several dependence parameters for the perturbed copulas considered here are also given.

MSC 2010: 60E05; 62H05; 62H20

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Received: 2021-05-30
Accepted: 2021-09-20
Published Online: 2021-10-28

© 2021 Susanne Saminger-Platz et al., published by De Gruyter

This work is licensed under the Creative Commons Attribution 4.0 International License.

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