Gluing Copulas |
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Authors: | Karl Friedrich Siburg Pavel A. Stoimenov |
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Affiliation: | 1. Fakult?t für Mathematik , Technische Universit?t Dortmund , Dortmund, Germany karl.f.siburg@math.tu-dortmund.de;3. Fakult?t für Statistik , Technische Universit?t Dortmund , Dortmund, Germany |
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Abstract: | We present a new way of constructing n-copulas, by scaling and gluing finitely many n-copulas. Gluing for bivariate copulas produces a copula that coincides with the independence copula on some grid of horizontal and vertical sections. Examples illustrate how gluing can be applied to build complicated copulas from simple ones. Finally, we investigate the analytical as well as statistical properties of the copulas obtained by gluing, in particular, the behavior of Spearman's ρ and Kendall's τ. |
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Keywords: | Construction of copulas Copulas Horizontal section Kendall's tau Spearman's rho Vertical section |
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