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A class of copulas with piecewise linear horizontal sections |
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| Authors: | Jos Antonio Rodríguez-Lallena |
| Institution: | aDepartamento de Estadística y Matemática Aplicada, Universidad de Almería, 04120 La Cañada de San Urbano (Almería), Spain |
| Abstract: | We introduce the class of bivariate copulas with piecewise linear horizontal sections whose graph is composed, at most, of two segments. It is a wide class of copulas which contains some known copulas. We study several properties of the copulas in the new class concerning absolute continuity, singular components, measures of association, concordance ordering, dependence concepts and symmetry. Finally, we provide several examples. |
| Keywords: | Absolute continuity Concordance ordering Copulas Dependence concepts Kendall's tau Singular components Spearman's rho Symmetry properties Tail dependence |
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