Constructing and generalizing multivariate copulas : a generalizing approach

Matthias Fischer; Christian Köck

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. -- construction of d-variate copulas ; Archimedean copulas

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Year of publication:	2007
Authors:	Fischer, Matthias ; Köck, Christian
Publisher:	Nürnberg : Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
Subject:	Multivariate Verteilung \| Multivariate distribution \| Multivariate Analyse \| Multivariate analysis \| Theorie \| Theory