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Title:Constructing and generalizing multivariate copulas: a generalizing approach PDF Logo
Authors:Fischer, Matthias J.
Köck, Christian
Issue Date:2007
Series/Report no.:Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 80/2007
Abstract:Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given.
Subjects:construction of d-variate copulas
Archimedean copulas
Document Type:Working Paper
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

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