Copulas with given diagonal sections: novel constructions and applications

Fabrizio Durante; Anna Kolesárová; Radko Mesiar; Carlo Sempi

doi:10.1142/S0218488507004753

Copulas with given diagonal sections: novel constructions and applications

Fabrizio Durante
, Anna Kolesárová
, Radko Mesiar
, Carlo Sempi

Institute for Mathematical Methods in Medicine and Data Based Modeling

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we present some methods for constructing copulas with a given diagonal section that are not necessarily symmetric. An interesting application for the construction of copulas with given tail dependence coefficients is, hence, provided.

Original language	English
Pages (from-to)	397-410
Number of pages	14
Journal	International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems
Volume	15
Issue number	4
DOIs	https://doi.org/10.1142/S0218488507004753
Publication status	Published - Aug 2007

Fields of science

101029 Mathematical statistics

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10.1142/S0218488507004753

Cite this

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abstract = "In this paper, we present some methods for constructing copulas with a given diagonal section that are not necessarily symmetric. An interesting application for the construction of copulas with given tail dependence coefficients is, hence, provided.",

author = "Fabrizio Durante and Anna Koles{\'a}rov{\'a} and Radko Mesiar and Carlo Sempi",

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AU - Mesiar, Radko

AU - Sempi, Carlo

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DO - 10.1142/S0218488507004753

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JO - International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems

JF - International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems

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Copulas with given diagonal sections: novel constructions and applications

Abstract

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