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Construction of a new bivariate copula based on Ruschendorf method

Copula modelling is useful and popular in many areas of statistics like finance, hydrology, drought study, etc. Construction of new copula can be based on Ruschendorf method and in this study, we construct a new copula based on a function which consists of the component of exponential functions. We...

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Main Authors: Jin, Pauline Wee Mah, Shitan, Mahendran
Format: Article
Language:English
Published: Hikari 2014
Online Access:http://psasir.upm.edu.my/id/eprint/36891/1/Construction%20of%20a%20New%20Bivariate%20Copula.pdf
http://psasir.upm.edu.my/id/eprint/36891/
http://www.m-hikari.com/ams/ams-2014/ams-153-156-2014/index.html
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spelling my.upm.eprints.368912016-01-12T00:15:52Z http://psasir.upm.edu.my/id/eprint/36891/ Construction of a new bivariate copula based on Ruschendorf method Jin, Pauline Wee Mah Shitan, Mahendran Copula modelling is useful and popular in many areas of statistics like finance, hydrology, drought study, etc. Construction of new copula can be based on Ruschendorf method and in this study, we construct a new copula based on a function which consists of the component of exponential functions. We prove that this new copula satisfies all necessary properties of a copula. We have also studied some dependence properties of the newly constructed copula, namely, the Kendall's T, Spearman's p and tail dependence. Hikari 2014 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/36891/1/Construction%20of%20a%20New%20Bivariate%20Copula.pdf Jin, Pauline Wee Mah and Shitan, Mahendran (2014) Construction of a new bivariate copula based on Ruschendorf method. Applied Mathematical Sciences, 8 (153). pp. 7645-7658. ISSN 1312-885X; ESSN: 1314-7552 http://www.m-hikari.com/ams/ams-2014/ams-153-156-2014/index.html
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description Copula modelling is useful and popular in many areas of statistics like finance, hydrology, drought study, etc. Construction of new copula can be based on Ruschendorf method and in this study, we construct a new copula based on a function which consists of the component of exponential functions. We prove that this new copula satisfies all necessary properties of a copula. We have also studied some dependence properties of the newly constructed copula, namely, the Kendall's T, Spearman's p and tail dependence.
format Article
author Jin, Pauline Wee Mah
Shitan, Mahendran
spellingShingle Jin, Pauline Wee Mah
Shitan, Mahendran
Construction of a new bivariate copula based on Ruschendorf method
author_facet Jin, Pauline Wee Mah
Shitan, Mahendran
author_sort Jin, Pauline Wee Mah
title Construction of a new bivariate copula based on Ruschendorf method
title_short Construction of a new bivariate copula based on Ruschendorf method
title_full Construction of a new bivariate copula based on Ruschendorf method
title_fullStr Construction of a new bivariate copula based on Ruschendorf method
title_full_unstemmed Construction of a new bivariate copula based on Ruschendorf method
title_sort construction of a new bivariate copula based on ruschendorf method
publisher Hikari
publishDate 2014
url http://psasir.upm.edu.my/id/eprint/36891/1/Construction%20of%20a%20New%20Bivariate%20Copula.pdf
http://psasir.upm.edu.my/id/eprint/36891/
http://www.m-hikari.com/ams/ams-2014/ams-153-156-2014/index.html
_version_ 1643831859373670400
score 13.160551

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