Symmetry and dependence properties within a semiparametric family of bivariate copulas

Nonparametric Statistics, 14(6), 715-727, 2002 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 positivity, ...) of t...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Amblard, Cécile, Girard, Stéphane
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext bestellen
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Nonparametric Statistics, 14(6), 715-727, 2002 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 positivity, ...) of the copulas. We provide bounds on different measures of association (such as Kendall's Tau, Spearman's Rho) for this family and several choices of generating functions allowing to reach these bounds.
DOI:10.48550/arxiv.1103.5953