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A method for constructing asymmetric pair-copula and its application

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  • Dingfang Li
  • Yifan Gui
  • Yifan Li
  • Lihua Xiong

Abstract

Pair-copula has become a hot spot in the research of both theory and application of statistics. Therefore, proper construction of pair-copula is an area worthy of study. Considering the asymmetry of variate dependence in practical applications and the disadvantages of the widely used asymmetric copulas, we propose a method to construct asymmetric pair-copula. In our method, we treat the asymmetric bivariate copula constructed by Liebscher's method as a generator, using this generator to construct asymmetric pair-copula. Also, on the basis of our method, we propose and prove a reference for selecting copula family in the construction. To verify the method, we construct asymmetric copulas and asymmetric pair-copulas using the daily runoff data collected at Yichang hydrological station to describe the extreme drought events of Yangtze River. After comparing the models in some aspects, we accept a model we construct, and the result displays the feasibility and practicality of the method we propose.

Suggested Citation

  • Dingfang Li & Yifan Gui & Yifan Li & Lihua Xiong, 2018. "A method for constructing asymmetric pair-copula and its application," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(17), pages 4202-4214, September.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:17:p:4202-4214
    DOI: 10.1080/03610926.2017.1371755
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    Cited by:

    1. Martin Bladt & Alexander J. McNeil, 2020. "Time series copula models using d-vines and v-transforms," Papers 2006.11088, arXiv.org, revised Jul 2021.

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