Constructing and generalizing given multivariate copulas: a unifying approach
2010; Taylor & Francis; Volume: 46; Issue: 1 Linguagem: Inglês
10.1080/02331888.2010.500028
ISSN1029-4910
AutoresMatthias Fischer, Christian Köck,
Tópico(s)Advanced Statistical Methods and Models
ResumoRecently, Liebscher [Construction of asymetric multivariate copulas, J. Multivariate Anal. 99 (2008), pp. 2234–2250] introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas [A method to obtain new copulas from a given one, Metrika 61 (2005), pp. 169–184] proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work, we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given.
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