Transformation of a copula using the associated co-copula

Stéphane Girard 1
  • 1 Univ. Grenoble Alpes, Inria, CNRS, Grenoble INP, LJK, 38000, Grenoble, France

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.

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Dependence Modeling aims to provide a medium for exchanging results and ideas in the area of multivariate dependence modeling. Topics include Copula methods, environmental sciences, estimation and goodness-of-fit tests, extreme-value theory, limit laws, mass transportations, measures of association, multivariate distributions and tests, quantitative risk management, risk assessment, risk models, risk measures and stochastic orders and time series.

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