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Dependence Modeling

Ed. by Puccetti, Giovanni


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Transformation of a copula using the associated co-copula

Stéphane Girard
Published Online: 2018-12-13 | DOI: https://doi.org/10.1515/demo-2018-0017

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

MSC 2010: 62H05

References

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About the article

Received: 2018-09-26

Accepted: 2018-11-01

Published Online: 2018-12-13

Published in Print: 2018-12-01


Citation Information: Dependence Modeling, Volume 6, Issue 1, Pages 298–308, ISSN (Online) 2300-2298, DOI: https://doi.org/10.1515/demo-2018-0017.

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© by Stéphane Girard, published by De Gruyter. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License. BY-NC-ND 4.0

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