A new family of symmetric bivariate copulas

Fabrizio Durante

doi:10.1016/j.crma.2006.12.004

Probability Theory/Statistics

A new family of symmetric bivariate copulas

Presented by: Paul Deheuvels

Fabrizio Durante ¹

¹ Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, A-4040 Linz, Austria

Comptes Rendus. Mathématique, Volume 344 (2007) no. 3, pp. 195-198.

Abstract
Résumé

A new class of copulas, depending on an univariate function, is introduced and its properties (dependence, ordering, symmetry) are studied.

On introduit une nouvelle famille de copules, qui dépendent d'une fonction unidimensionnelle, et l'on étudie ses propriétés (dépendance, ordre, symétrie).

Received: 2006-02-11
Accepted: 2006-12-01
Published online: 2007-01-09

DOI: 10.1016/j.crma.2006.12.004

Author's affiliations:

Fabrizio Durante ¹

¹ Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, A-4040 Linz, Austria

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Fabrizio Durante. A new family of symmetric bivariate copulas. Comptes Rendus. Mathématique, Volume 344 (2007) no. 3, pp. 195-198. doi : 10.1016/j.crma.2006.12.004. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2006.12.004/

References
Cited by

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[2] C. Amblard; S. Girard Une famille semi-paramétriques de copules symétriques bivariées, C. R. Acad. Sci. Paris, Ser. I, Volume 333 (2001), pp. 129-132

[3] C.M. Cuadras; J. Augé A continuous general multivariate distribution and its properties, Comm. Statist. A Theory Methods, Volume 10 (1981), pp. 339-353

[4] R.B. Nelsen An Introduction to Copulas, Springer, New York, 1999

[5] R.B. Nelsen; M. Úbeda Flores The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas, C. R. Acad. Sci. Paris, Ser. I, Volume 341 (2005), pp. 583-586

[6] J.A. Rodríguez Lallena; M. Úbeda Flores A new class of bivariate copulas, Statist. Probab. Lett., Volume 66 (2004), pp. 315-325

[7] A. Sklar Fonctions de répartition à n dimensions et leurs marges, Publ. Inst. Statist. Univ. Paris, Volume 8 (1959), pp. 229-231

Cited by Sources:

^⁎ A first version of this paper was written when the author was Ph.D. student at the Department of Mathematics of the University of Lecce (Italy). This work was partially supported by the Italian M.I.U.R. through the project “Metodi stocastici in finanza matematica”.

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