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Semi-polynomial copulas
Authors:Juan Fernández Sánchez
Affiliation:Grupo de investigación de Análisis Matemático, Universidad de Almería, 04120 Almería, Spain
Abstract:In this paper, we characterise a family of bivariate copulas whose sections between the main diagonal and the border of the unit square are polynomial, generalising several families of copulas, including those with quadratic and cubic sections. We also study a measure of association and the tail dependence for this class, illustrating our results with several examples.
Keywords:two-increasing property  copula  measure of association  tail dependence
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