Constructing and generalizing given multivariate copulas: A unifying approach

Journal article
(Original article)


Publication Details

Author(s): Fischer M, Köck C
Journal: Statistics
Publisher: Taylor & Francis: STM, Behavioural Science and Public Health Titles / Taylor & Francis
Publication year: 2012
Volume: 46
Journal issue: 1
Pages range: 1-12
ISSN: 0233-1888
Language: English


Abstract


Recently, Liebscher [Construction of asymetric multivariate copulas, J. Multivariate Anal. 99 (2008), pp. 2234-2250] introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas [A method to obtain new copulas from a given one, Metrika 61 (2005), pp. 169-184] proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work, we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given. © 2012 Taylor and Francis Group, LLC.


FAU Authors / FAU Editors

Fischer, Matthias Prof. Dr.
Fachbereich Wirtschaftswissenschaften
Köck, Christian Dr.
Lehrstuhl für Statistik und Ökonometrie


How to cite

APA:
Fischer, M., & Köck, C. (2012). Constructing and generalizing given multivariate copulas: A unifying approach. Statistics, 46(1), 1-12. https://dx.doi.org/10.1080/02331888.2010.500028

MLA:
Fischer, Matthias, and Christian Köck. "Constructing and generalizing given multivariate copulas: A unifying approach." Statistics 46.1 (2012): 1-12.

BibTeX: 

Last updated on 2018-29-08 at 12:23