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Gluing copulas

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  • Siburg, Karl Friedrich
  • Stoimenov, Pavel A.

Abstract

We present a new way of constructing bivariate copulas, by recalling and gluing two (or more) copulas. Examples illustrate how this construction can be applied to build complicated copulas from simple ones.

Suggested Citation

  • Siburg, Karl Friedrich & Stoimenov, Pavel A., 2007. "Gluing copulas," Technical Reports 2007,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200731
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    References listed on IDEAS

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    1. Fredricks, Gregory A. & Nelsen, Roger B. & Rodriguez-Lallena, Jose Antonio, 2005. "Copulas with fractal supports," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 42-48, August.
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