Transformation of a copula using the associated co-copula

Stéphane Girard (1)

1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems

We investigate the properties of a new transformation of copulas based on the co-copula and an univariate function. It is shown that several families in the copula literature can be interpreted as particular outputs of this transformation. Symmetry, association, ordering and dependence properties of the resulting copula are established.

Domaines: Statistiques [math.ST]

Stéphane Girard. Transformation of a copula using the associated co-copula. Dependence Modeling, 2018, 6 (1), pp.298-308. ⟨10.1515/demo-2018-0017⟩. ⟨hal-01881969v2⟩