Constructing Copulas with Given Diagonal and Opposite Diagonal Sections |
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Authors: | Bernard De Baets Hans De Meyer |
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Institution: | 1. Department of Applied Mathematics, Biometrics and Process Control , Ghent University , Gent, Belgium;2. Department of Applied Mathematics and Computer Science , Ghent University , Gent, Belgium |
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Abstract: | A method for constructing copulas with given diagonal and opposite diagonal sections is presented. It makes use of a recently developed method for constructing cross-copulas with given horizontal and vertical sections. Conditions guaranteeing the existence of a cross-copula with the given diagonal and opposite diagonal sections are derived. It is shown how the new method facilitates the construction of families of copulas that simultaneously model tail dependences of upper-upper, upper-lower, lower-lower and lower-upper type. |
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Keywords: | Copula Cross-copula Diagonal section Lipschitz conditions Opposite diagonal section Tail dependence |
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