Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077263 | Insurance: Mathematics and Economics | 2008 | 11 Pages |
Abstract
We study a method, which we call a copula (or quasi-copula) diagonal splice, for creating new functions by joining portions of two copulas (or quasi-copulas) with a common diagonal section. The diagonal splice of two quasi-copulas is always a quasi-copula, and we find a necessary and sufficient condition for the diagonal splice of two copulas to be a copula. Applications of this method include the construction of absolutely continuous asymmetric copulas with a prescribed diagonal section, and determining the best-possible upper bound on the set of copulas with a particular type of diagonal section. Several examples illustrate our results.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Roger B. Nelsen, José Juan Quesada-Molina, José Antonio RodrÃguez-Lallena, Manuel Ãbeda-Flores,