Rectangular patchwork for bivariate copulas and tail dependence

Fabrizio Durante; Susanne Saminger-Platz; Peter Sarkoci

doi:10.1080/03610920802571203

Rectangular patchwork for bivariate copulas and tail dependence

Fabrizio Durante
, Susanne Saminger-Platz
, Peter Sarkoci

Institut für Mathematische Methoden in Medizin und Datenbasierter Modellierung

Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

Abstract

We present a method for constructing bivariate copulas by changing the values that a given copula assumes on some subrectangles of the unit square. Some applications of this method are discussed, especially in relation to the construction of copulas with different tail dependencies.

Originalsprache	Englisch
Seiten (von - bis)	2515-2527
Seitenumfang	13
Fachzeitschrift	Communications in Statistics - Theory and Methods
Volume	38
Ausgabenummer	15
DOIs	https://doi.org/10.1080/03610920802571203
Publikationsstatus	Veröffentlicht - Sep. 2009

Wissenschaftszweige

101 Mathematik
101004 Biomathematik
101027 Dynamische Systeme
101013 Mathematische Logik
101028 Mathematische Modellierung
101014 Numerische Mathematik
101020 Technische Mathematik
101024 Wahrscheinlichkeitstheorie
102001 Artificial Intelligence
102003 Bildverarbeitung
102009 Computersimulation
102019 Machine Learning
102023 Supercomputing
202027 Mechatronik
206001 Biomedizinische Technik
206003 Medizinische Physik
102035 Data Science

Zugriff auf Dokument

10.1080/03610920802571203

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Verknüpfung zur Publikation in Scopus

Dieses zitieren

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