Rectangular Patchwork for Bivariate Copulas and Tail Dependence |
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| Authors: | Fabrizio Durante Peter Sarkoci |
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| Affiliation: | Department of Knowledge-Based Mathematical Systems , Johannes Kepler University , Linz, Austria |
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| Abstract: | We present a method for constructing bivariate copulas by changing the values that a given copula assumes on some subrectangles of the unit square. Some applications of this method are discussed, especially in relation to the construction of copulas with different tail dependencies. |
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| Keywords: | Copula Exchangeability Sections of copulas Tail dependence |
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