Semi-polynomial copulas |
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Authors: | Juan Fernández Sánchez |
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Affiliation: | Grupo de investigación de Análisis Matemático, Universidad de Almería, 04120 Almería, Spain |
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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. |
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Keywords: | two-increasing property copula measure of association tail dependence |
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