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A method to obtain new copulas from a given one

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Abstract.

Given a strictly increasing continuous function φ from [0, 1] to [0, 1] and its pseudo-inverse φ[−1], conditions that φ must satisfy for C φ (x1, . . . ,xn)=φ[−1](C(φ(x1), . . . ,φ(xn))) to be a copula for any copula C are studied. Some basic properties of the copulas obtained in this way are analyzed and several examples of generator functions φ that can be used to construct copulas C φ are presented. In this manner, a method to obtain from a given copula C a variety of new copulas is provided. This method generalizes that used to construct Archimedean copulas in which the original copula C is the product copula, and it is related with mixtures

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  1. Instituto de Matemática Aplicada San Luis, UNSL-CONICET, Ejército de los Andes 950, C.P. 5700, San Luis, Argentina

    Patricia Mariela Morillas

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  1. Patricia Mariela Morillas
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Correspondence to Patricia Mariela Morillas.

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Morillas, P. A method to obtain new copulas from a given one. Metrika 61, 169–184 (2005). https://doi.org/10.1007/s001840400330

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  • DOI: https://doi.org/10.1007/s001840400330

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