Bivariate copulas generated by perturbations

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• 作者：Fabrizio Durante ; Juan Fern¨¢ndez S¨¢nchez ; Manuel ¨²beda Flores
• 关键词：Copula ; Measure of association ; Quasi-copula ; Tail dependence
• 刊名：Fuzzy Sets and Systems
• 出版年：2013
• 出版时间：1 October, 2013
• 年：2013
• 卷：228
• 期：Complete
• 页码：137-144
• 全文大小：216 K

文摘

In this paper, we provide a family of bivariate copulas based on a perturbation of a given copula by a factor term. The new class generalizes well-known families of copulas and allows to describe a wide range of possible dependencies.