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Transformation of a copula using the associated co-copula

Author

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  • Girard Stéphane

    (Univ. Grenoble Alpes, Inria, CNRS, Grenoble INP, LJK, 38000Grenoble, France)

Abstract

We investigate the properties of a new transformation of copulas based on the co-copula and an univariate function. It is shown that several families in the copula literature can be interpreted as particular outputs of this transformation. Symmetry, association, ordering and dependence properties of the resulting copula are established.

Suggested Citation

  • Girard Stéphane, 2018. "Transformation of a copula using the associated co-copula," Dependence Modeling, De Gruyter, vol. 6(1), pages 298-308, December.
    • Handle: RePEc:vrs:demode:v:6:y:2018:i:1:p:298-308:n:17
    DOI: 10.1515/demo-2018-0017
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    References listed on IDEAS

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    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. Durante Fabrizio & Fernández-Sánchez Juan & Trutschnig Wolfgang, 2014. "Solution to an open problem about a transformation on the space of copulas," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-8, November.
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    7. Zhang, Ming-Heng, 2008. "Modelling total tail dependence along diagonals," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 73-80, February.
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    Keywords

    Copula; co-copula;

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