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
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
Journal title :
Journal of Statistical Planning and Inference