Bivariate copulas defined from matrices

Abstract : We propose a semiparametric family of copulas based on a set of orthonormal functions and a matrix. This new copula permits to reach values of Spearman's Rho arbitrarily close to one without introducing a singular component. Moreover, it encompasses several extensions of FGM copulas as well as copulas based on partition of unity such as Bernstein or checkerboard copulas. It is also shown that projection of arbitrary densities of copulas onto tensor product bases can enter our framework.Finally, two estimators of copulas are introduced and theirfinite sample behaviours are compared on simulated data.
Type de document :
Pré-publication, Document de travail
2014
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https://hal.archives-ouvertes.fr/hal-00875303
Contributeur : Stephane Girard <>
Soumis le : vendredi 12 septembre 2014 - 10:45:28
Dernière modification le : mardi 6 octobre 2015 - 08:45:11

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article-Krakow-2014.pdf
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  • HAL Id : hal-00875303, version 2

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Cécile Amblard, Stephane Girard, Ludovic Menneteau. Bivariate copulas defined from matrices. 2014. <hal-00875303v2>

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