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

Title
On structural properties of an asymmetric copula family and its statistical implication
Authors
Lee, WoojooKim, MijeongAhn, Jae Youn
Ewha Authors
안재윤김미정
SCOPUS Author ID
안재윤scopus; 김미정scopus
Issue Date
2020
Journal Title
FUZZY SETS AND SYSTEMS
ISSN
0165-0114JCR Link

1872-6801JCR Link
Citation
FUZZY SETS AND SYSTEMS vol. 393, pp. 126 - 142
Keywords
Asymmetric copulaCopula transformationIdentifiabilityMarshall-Olkin copula
Publisher
ELSEVIER
Indexed
SCIE; SCOPUS WOS scopus
Document Type
Article
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. (C) 2019 Elsevier B.V. All rights reserved.
DOI
10.1016/j.fss.2019.06.004
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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