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Copula and semicopula transforms

Author

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  • Fabrizio Durante
  • Carlo Sempi

Abstract

We characterize the transformation, defined for every copula C , by C h ( x , y ) : = h [ − 1 ] ( C ( h ( x ) , h ( y ) ) ) , where x and y belong to [ 0 , 1 ] and h is a strictly increasing and continuous function on [ 0 , 1 ] . We study this transformation also in the class of quasi-copulas and semicopulas.

Suggested Citation

  • Fabrizio Durante & Carlo Sempi, 2005. "Copula and semicopula transforms," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2005, pages 1-11, January.
    • Handle: RePEc:hin:jijmms:367965
    DOI: 10.1155/IJMMS.2005.645
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    Cited by:

    1. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter, vol. 1(2013), pages 1-36, October.
    2. Nappo Giovanna & Spizzichino Fabio, 2020. "Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property," Dependence Modeling, De Gruyter, vol. 8(1), pages 1-33, January.
    3. Nappo Giovanna & Spizzichino Fabio, 2020. "Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property," Dependence Modeling, De Gruyter, vol. 8(1), pages 1-33, January.
    4. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    5. Hien Duy Tran & Uyen Hoang Pham & Sel Ly & T. Vo-Duy, 2017. "Extraction dependence structure of distorted copulas via a measure of dependence," Annals of Operations Research, Springer, vol. 256(2), pages 221-236, September.

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