Diverse copulas through Durante’s method. Exploring parametric functions

• Autorzy: CHESNEAU Christophe
• Języki publikacji: EN

Abstrakty

EN

This article unveils the often underestimated potential of a copula methodology introduced by Durante in 2009. It highlights the remarkable ability of the method to generate a broad spectrum of copulas by exploiting various parametric functions. Our exploration encompasses a collection of power-like, exponential-like, trigonometric-like, logarithmic-like, hyperbolic-like and error-like functions, each dependent on one, two, or three parameters, effectively satisfying the necessary assumptions of Durante’s method. The proofs provided rely on suitable differentiation, comprehensive factorizations, and judicious application of mathematical inequalities. In the vast repertoire of copulas derived from this methodology, we present three distinct series of eight new copulas, supported by a graphical analysis of their respective densities. This theoretical study not only expands the understanding of copula generation but also introduces a new perspective on their construction in various contexts.

Słowa kluczowe

EN

copula; Durante’s method; dependence modeling; copula density, correlation

• Wydawca: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2024
• Tom: 34
• Numer: 3
• Strony: 61-86

Twórcy

autor

CHESNEAU Christophe

• Department of Mathematics, LMNO, University of Caen-Normandie, 14032 Caen, France,

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Identyfikatory

DOI

10.37190/ord240304