Title of article
A class of copulas with piecewise linear horizontal sections
Author/Authors
Rodrيguez-Lallena، نويسنده , , José Antonio، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
13
From page
3908
To page
3920
Abstract
We introduce the class of bivariate copulas with piecewise linear horizontal sections whose graph is composed, at most, of two segments. It is a wide class of copulas which contains some known copulas. We study several properties of the copulas in the new class concerning absolute continuity, singular components, measures of association, concordance ordering, dependence concepts and symmetry. Finally, we provide several examples.
Keywords
Copulas , Dependence concepts , Kendallיs tau , Singular components , Spearmanיs rho , Tail dependence , Symmetry properties , Absolute continuity , Concordance ordering
Journal title
Journal of Statistical Planning and Inference
Serial Year
2009
Journal title
Journal of Statistical Planning and Inference
Record number
2220352
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