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Reflected maxmin copulas and modelling quadrant subindependence

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  • Tomav{z} Kov{s}ir
  • Matjav{z} Omladiv{c}

Abstract

Copula models have become popular in different applications, including modeling shocks, in view of their ability to describe better the dependence concepts in stochastic systems. The class of maxmin copulas was recently introduced by Omladi\v{c} and Ru\v{z}i\'{c}. It extends the well known classes of Marshall-Olkin and Marshall copulas by allowing the external shocks to have different effects on the two components of the system. By a reflection (flip) in one of the variables we introduce a new class of bivariate copulas called reflected maxmin (RMM) copulas. We explore their properties and show that symmetric RMM copulas relate to general RMM copulas similarly as do semilinear copulas relate to Marshall copulas. We transfer that relation also to maxmin copulas. We also characterize possible diagonal functions of symmetric RMM copulas.

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  • Tomav{z} Kov{s}ir & Matjav{z} Omladiv{c}, 2018. "Reflected maxmin copulas and modelling quadrant subindependence," Papers 1808.07646, arXiv.org, revised Dec 2018.
    • Handle: RePEc:arx:papers:1808.07646
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    1. 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.
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