Given a copula C, we examine under which conditions on an order isomorphism of [0, 1] the distortion C: [0, 1]2[0, 1], C(x, y)=C[-1(x), -1(y)] is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on that ensures that any distortion of C by means of is again a copula. The presented results allow us to introduce in a more flexible way families of copulas exhibiting different behavior in the tails. Copyright © Taylor & Francis Group, LLC.
Distorted copulas: Constructions and tail dependence
FOSCHI, RACHELE;
2010-01-01
Abstract
Given a copula C, we examine under which conditions on an order isomorphism of [0, 1] the distortion C: [0, 1]2[0, 1], C(x, y)=C[-1(x), -1(y)] is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on that ensures that any distortion of C by means of is again a copula. The presented results allow us to introduce in a more flexible way families of copulas exhibiting different behavior in the tails. Copyright © Taylor & Francis Group, LLC.File in questo prodotto:
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