Characterization of Differentiable Copulas
AbstractThis paper proposes a new class of copulas which characterize the set of all twice continuously differentiable copulas. We show that our proposed new class of copulas is a new generalized copula family that include not only asymmetric copulas but also all smooth copula families available in the current literature. Spearman's rho and Kendall's tau for our new Fourier copulas which are asymmetric are introduced. Furthermore, an approximation method is discussed in order to optimize Spearman's rho and the corresponding Kendall's tau.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1210.2953.
Date of creation: Oct 2012
Date of revision:
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
- Cécile Amblard & Stéphane Girard, 2009. "A new extension of bivariate FGM copulas," Metrika, Springer, vol. 70(1), pages 1-17, June.
- Rodríguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2004. "A new class of bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 315-325, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.