On comprehensive families of copulas involving the three basic copulas and transformations thereof
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F24%3AA25038KX" target="_blank" >RIV/61988987:17610/24:A25038KX - isvavai.cz</a>
Result on the web
<a href="https://www.degruyter.com/document/doi/10.1515/demo-2024-0007/html" target="_blank" >https://www.degruyter.com/document/doi/10.1515/demo-2024-0007/html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/demo-2024-0007" target="_blank" >10.1515/demo-2024-0007</a>
Alternative languages
Result language
angličtina
Original language name
On comprehensive families of copulas involving the three basic copulas and transformations thereof
Original language description
Comprehensive families of copulas including the three basic copulas (at least as limit cases) are useful tools to model countermonotonicity, independence and comonotonicity of pairs of random variables on the same probability space. In this contribution we study how the transition from a (basic) copula to a copula modeling a different dependence behavior can be realized by means of ordinal sums based on one of the three basic copulas, perturbing one of the three basic copulas (considering some appropriate parameterized transformations) and truncating the results using the Fréchet-Hoeffding bounds. We provide results and examples showing the flexibility and the restrictions for obtaining new copulas or comprehensive families and illustrate the development of their dependence parameters.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Dependence Modeling
ISSN
2300-2298
e-ISSN
2300-2298
Volume of the periodical
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Issue of the periodical within the volume
1
Country of publishing house
PL - POLAND
Number of pages
10
Pages from-to
334-343
UT code for WoS article
001349374600001
EID of the result in the Scopus database
2-s2.0-85209408867