Comptes Rendus
no. 3
Probability Theory/Statistics
A new family of symmetric bivariate copulas
[Une nouvelle famille de copules symétriques bivariées]

Présenté par : Paul Deheuvels

Fabrizio Durante1
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.

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

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

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2006.12.004
Fabrizio Durante 1

1 Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, A-4040 Linz, Austria 
@article{CRMATH_2007__344_3_195_0,
     author = {Fabrizio Durante},
     title = {A new family of symmetric bivariate copulas},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {195--198},
     publisher = {Elsevier},
     volume = {344},
     number = {3},
     year = {2007},
     doi = {10.1016/j.crma.2006.12.004},
     language = {en},
}
TY  - JOUR
AU  - Fabrizio Durante
TI  - A new family of symmetric bivariate copulas
JO  - Comptes Rendus. Mathématique
PY  - 2007
SP  - 195
EP  - 198
VL  - 344
IS  - 3
PB  - Elsevier
DO  - 10.1016/j.crma.2006.12.004
LA  - en
ID  - CRMATH_2007__344_3_195_0
ER  - 
%0 Journal Article
%A Fabrizio Durante
%T A new family of symmetric bivariate copulas
%J Comptes Rendus. Mathématique
%D 2007
%P 195-198
%V 344
%N 3
%I Elsevier
%R 10.1016/j.crma.2006.12.004
%G en
%F CRMATH_2007__344_3_195_0
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/

[1] A. Alfonsi; D. Brigo New families of copulas based on periodic functions, Comm. Statist. Theory Methods, Volume 34 (2005), pp. 1437-1447

[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

Cité par 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”.

Commentaires - Politique

Ces articles pourraient vous intéresser

Comportement extrémal des copules diagonales et de Bertino

Christian Genest; Magid Sabbagh

C. R. Math (2020)

The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas

Roger B. Nelsen; Manuel Úbeda Flores

C. R. Math (2005)

Extreme value attractors for star unimodal copulas

Ioan Cuculescu; Radu Theodorescu

C. R. Math (2002)