In this paper, we present some methods for constructing copulas with a given diagonal section that are not necessarily symmetric. An interesting application for the construction of copulas with given tail dependence coefficients is, hence, provided.
Copulas with given diagonal sections: novel constructions and applications
DURANTE, FABRIZIO;SEMPI, Carlo
2007-01-01
Abstract
In this paper, we present some methods for constructing copulas with a given diagonal section that are not necessarily symmetric. An interesting application for the construction of copulas with given tail dependence coefficients is, hence, provided.File in questo prodotto:
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