TY - JOUR
T1 - On structural properties of an asymmetric copula family and its statistical implication
AU - Lee, Woojoo
AU - Kim, Mijeong
AU - Ahn, Jae Youn
N1 - Funding Information:
Woojoo Lee was supported by the Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education (NRF-2016R1D1A1B03936100), and by a Grant from the Next-Generation BioGreen 21 program (Project No. PJ01337701), Rural Development Administration, Republic of Korea. Mijeong Kim was supported by a National Research Foundation of Korea (NRF) grant funded by the Korean Government (NRF-2017R1C1B5015186). Jae Youn Ahn was supported by a National Research Foundation of Korea (NRF) grant funded by the Korean Government (NRF-2017R1D1A1B03032318).
Funding Information:
Woojoo Lee was supported by the Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education ( NRF-2016R1D1A1B03936100 ), and by a Grant from the Next-Generation BioGreen 21 program (Project No. PJ01337701 ), Rural Development Administration , Republic of Korea. Mijeong Kim was supported by a National Research Foundation of Korea (NRF) grant funded by the Korean Government ( NRF-2017R1C1B5015186 ). Jae Youn Ahn was supported by a National Research Foundation of Korea (NRF) grant funded by the Korean Government ( NRF-2017R1D1A1B03032318 ).
Publisher Copyright:
© 2019 Elsevier B.V.
PY - 2020/8/15
Y1 - 2020/8/15
N2 - 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.
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.
KW - Asymmetric copula
KW - Copula transformation
KW - Identifiability
KW - Marshall–Olkin copula
UR - http://www.scopus.com/inward/record.url?scp=85067184960&partnerID=8YFLogxK
U2 - 10.1016/j.fss.2019.06.004
DO - 10.1016/j.fss.2019.06.004
M3 - Article
AN - SCOPUS:85067184960
SN - 0165-0114
VL - 393
SP - 126
EP - 142
JO - Fuzzy Sets and Systems
JF - Fuzzy Sets and Systems
ER -