Related papers: Characterization of Differentiable Copulas
We propose a new bivariate symmetric copula with positive and negative dependence properties. The main features of the proposed copula are its simple mathematical structure, wider dependence range compared to FGM copula and its…
We propose a semiparametric family of copulas based on a set of orthonormal functions and a matrix. This new copula permits to reach values of Spearman's Rho arbitrarily close to one without introducing a singular component. Moreover, it…
We propose a new family of copulas generalizing the Farlie-Gumbel-Morgenstern family and generated by two univariate functions. The main feature of this family is to permit the modeling of high positive dependence. In particular, it is…
We derive explicit formulas for Kendall's tau and Spearman's rho for two broad classes of asymmetric copulas: normal location-scale mixture copulas and skew-normal scale mixture copulas. These classes encompass widely used specifications,…
New copulas, based on perturbation theory, are introduced to clarify a \emph{symmetrization} procedure for asymmetric copulas. We give also some properties of the \emph{symmetrized} copula. Finally, we examine families of copulas with a…
Copula models have been widely used to model the dependence between continuous random variables, but modeling count data via copulas has recently become popular in the statistics literature. Spearman's rho is an appropriate and effective…
Working with shuffles we establish a close link between Kendall's tau, the so-called length measure, and the surface area of bivariate copulas and derive some consequences. While it is well-known that Spearman's rho of a bivariate copula A…
In this brief note we prove that linear B-spline copulas is not a new family of copulas since they are equivalent to checkerboard copulas, and discuss in particular how they are used to extend empirical subcopulas to copulas.
In this paper, we present a family of bivariate copulas by transforming a given copula function with two increasing functions, named as transformed copula. One distinctive characteristic of the transformed copula is its singular component…
In many practical scenarios, including finance, environmental sciences, system reliability, etc., it is often of interest to study the various notion of negative dependence among the observed variables. A new bivariate copula is proposed…
Rank-based dependence measures such as Spearman's footrule are robust and invariant, but they often fail to capture directional or asymmetric dependence in multivariate settings. This paper introduces a new family of directional Spearman's…
Following Aguil\'{o}-Su\~{n}er-Torrens (2008), Koles\'{a}rov\'{a}-Mesiar-Mordelov\'{a}-Sempi (2006) and Mayor-Su\~{n}er-Torrens (2005), we continue to develop a theory of matrix representation for discrete copulas. To be more precise, we…
We introduce a new family of copula densities constructed from univariate distributions on $[0,1]$. Although our construction is structurally simple, the resulting family is versatile: it includes both smooth and irregular examples, and…
Generalizing Karoubi's multiplicative K-theory and multiplicative cohomology groups for smooth manifolds we define secondary theories and characteristic classes for smooth etale groupoids. As special cases we obtain versions of the groups…
This paper proposes multivariate copula models for hierarchical data. They account for two types of correlation: one is between variables measured on the same unit and the other is a correlation between units in the same cluster. This model…
The main purpose of this paper is twofold. We first want to analyze in details the meaningful geometric aspect of the method introduced in the previous paper [12], concerning regularity of families of irreducible, nodal "curves" on a…
A new method for constructing absolutely continuous two--dimensional copulas by differential equations is presented. The copulas are symmetric with respect to reflection in the opposite diagonal. The support of the copula density may be…
We propose a more flexible symmetric counterpart of the Huang-Kotz's copula of the 1st type. Both the counterpart and Huang-Kotz's copula of the 1st type provide the same improvement of the correlation level. Moreover, the proposed copula…
In this paper, we study a semiparametric family of bivariate copulas. The family is generated by an univariate function, determining the symmetry (radial symmetry, joint symmetry) and dependence property (quadrant dependence, total…
While there is substantial need for dependence models in higher dimensions, most existing models quickly become rather restrictive and barely balance parsimony and flexibility. Hierarchical constructions may improve on that by grouping…