Geodesic
Some new developments on variable-power copulas
Christophe Chesneau1
1 Department of Mathematics, LMNO University of Caen-Normandie 14032 Caen, France <a href="https://orcid.org/0000-0002-1522-9292">ORCID: 0000-0002-1522-9292</a>
Applicationes Mathematicae, Tome 50 (2023) no. 1, pp. 35-54.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

This article aims to contribute to the theory of variable-power copulas. In the first part, we discuss and study two unexplored variable-power copulas based on a modification of the function “$x^{1/y}y^{1/x}$”. Their originality in definition offers interesting alternative options to the existing variable-power copulas. However, these copulas have a strong limitation: they are free of any parameters, making them rigid in the functional sense. In light of this, the second part is devoted to some parametric versions of them, still belonging to the variable-power copulas family. They have the feature of being original and of recovering the independence copula for some values of the parameter. Their properties are investigated.
DOI : 10.4064/am2483-11-2023
Keywords: article aims contribute theory variable power copulas first part discuss study unexplored variable power copulas based modification function their originality definition offers interesting alternative options existing variable power copulas however these copulas have strong limitation parameters making rigid functional sense light second part devoted parametric versions still belonging variable power copulas family have feature being original recovering independence copula values parameter their properties investigated

Christophe Chesneau 1

1 Department of Mathematics, LMNO University of Caen-Normandie 14032 Caen, France <a href="https://orcid.org/0000-0002-1522-9292">ORCID: 0000-0002-1522-9292</a> 
@article{10_4064_am2483_11_2023,
     author = {Christophe Chesneau},
     title = {Some new developments on variable-power copulas},
     journal = {Applicationes Mathematicae},
     pages = {35--54},
     publisher = {mathdoc},
     volume = {50},
     number = {1},
     year = {2023},
     doi = {10.4064/am2483-11-2023},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am2483-11-2023/}
}
TY  - JOUR
AU  - Christophe Chesneau
TI  - Some new developments on variable-power copulas
JO  - Applicationes Mathematicae
PY  - 2023
SP  - 35
EP  - 54
VL  - 50
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am2483-11-2023/
DO  - 10.4064/am2483-11-2023
LA  - en
ID  - 10_4064_am2483_11_2023
ER  - 
%0 Journal Article
%A Christophe Chesneau
%T Some new developments on variable-power copulas
%J Applicationes Mathematicae
%D 2023
%P 35-54
%V 50
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.4064/am2483-11-2023/
%R 10.4064/am2483-11-2023
%G en
%F 10_4064_am2483_11_2023
Christophe Chesneau. Some new developments on variable-power copulas. Applicationes Mathematicae, Tome 50 (2023) no. 1, pp. 35-54. doi : 10.4064/am2483-11-2023. http://geodesic.mathdoc.fr/articles/10.4064/am2483-11-2023/

Cité par Sources :