Gluing copulas

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dc.contributor.authorSiburg, Karl F.
dc.contributor.authorStoimenov, Pavel A.
dc.date.accessioned2008-05-15T10:38:18Z
dc.date.available2008-05-15T10:38:18Z
dc.date.issued2008-05-15T10:38:18Z
dc.description.abstractWe present a new way of constructing n-copulas, by scaling and gluing finitely many n-copulas. Gluing for bivariate copulas produces a copula that coincides with the independence copula on some grid of horizontal and vertical sections. Examples illustrate how gluing can be applied to build complicated copulas from simple ones. Finally, we investigate the analytical as well as statistical properties of the copulas obtained by gluing, in particular, the behavior of Spearman's p and Kendall's t .en
dc.identifier.urihttp://hdl.handle.net/2003/25272
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7900
dc.language.isoende
dc.relation.ispartofseriesPreprints der Fakultät für Mathematik;2008-09de
dc.subject.ddc510
dc.titleGluing copulasen
dc.typeTextde
dc.type.publicationtypepreprinten
dcterms.accessRightsopen access
eldorado.dnb.depositfalse

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