On structural properties of an asymmetric copula family and its statistical implication

Woojoo Lee; Mijeong Kim; Jae Youn Ahn

doi:10.1016/j.fss.2019.06.004

On structural properties of an asymmetric copula family and its statistical implication

Woojoo Lee, Mijeong Kim, Jae Youn Ahn

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

Constructing new copulas by transforming a given copula is necessary to enhance the flexibility of the existing copula family. Among various copula transformations, the Khoudraji transformation (K-transformation), described in [16], provides a promising way to create asymmetric copulas. In this study, we completely characterize the invariance property of the K-transformation and discuss how the K-transformation changes measures of association or asymmetry of a copula. In particular, this study explores the identifiability issue of Khoudraji-transformed copula families. Some conditions for guaranteeing identifiable transformed copula families are provided.

Original language	English
Pages (from-to)	126-142
Number of pages	17
Journal	Fuzzy Sets and Systems
Volume	393
DOIs	https://doi.org/10.1016/j.fss.2019.06.004
State	Published - 15 Aug 2020

Bibliographical note

Publisher Copyright:
© 2019 Elsevier B.V.

Keywords

Asymmetric copula
Copula transformation
Identifiability
Marshall–Olkin copula

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10.1016/j.fss.2019.06.004

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abstract = "Constructing new copulas by transforming a given copula is necessary to enhance the flexibility of the existing copula family. Among various copula transformations, the Khoudraji transformation (K-transformation), described in [16], provides a promising way to create asymmetric copulas. In this study, we completely characterize the invariance property of the K-transformation and discuss how the K-transformation changes measures of association or asymmetry of a copula. In particular, this study explores the identifiability issue of Khoudraji-transformed copula families. Some conditions for guaranteeing identifiable transformed copula families are provided.",

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AB - Constructing new copulas by transforming a given copula is necessary to enhance the flexibility of the existing copula family. Among various copula transformations, the Khoudraji transformation (K-transformation), described in [16], provides a promising way to create asymmetric copulas. In this study, we completely characterize the invariance property of the K-transformation and discuss how the K-transformation changes measures of association or asymmetry of a copula. In particular, this study explores the identifiability issue of Khoudraji-transformed copula families. Some conditions for guaranteeing identifiable transformed copula families are provided.

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ER -

On structural properties of an asymmetric copula family and its statistical implication

Abstract

Bibliographical note

Keywords

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