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On a Rosenblatt-type transformation of multivariate copulas

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  • Savinov, Evgeniy
  • Shamraeva, Victoria

Abstract

A new family of multivariate copulas constructed from existing copulas by transforming the corresponding random variables using their conditional distributions are introduced. It is shown that for symmetrical copulas in a triangular scheme, this transformation tends to asymptotic independence.

Suggested Citation

  • Savinov, Evgeniy & Shamraeva, Victoria, 2023. "On a Rosenblatt-type transformation of multivariate copulas," Econometrics and Statistics, Elsevier, vol. 25(C), pages 39-48.
    • Handle: RePEc:eee:ecosta:v:25:y:2023:i:c:p:39-48
    DOI: 10.1016/j.ecosta.2021.10.016
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    References listed on IDEAS

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