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자연과학대학
통계학전공
Journal papers
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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 W.
;
Kim M.
;
Ahn J.Y.
Ewha Authors
안재윤
;
김미정
SCOPUS Author ID
안재윤
; 김미정
Issue Date
2020
Journal Title
Fuzzy Sets and Systems
ISSN
0165-0114
Citation
Fuzzy Sets and Systems vol. 393, pp. 126 - 142
Keywords
Asymmetric copula
;
Copula transformation
;
Identifiability
;
Marshall–Olkin copula
Publisher
Elsevier B.V.
Indexed
SCIE; 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. © 2019 Elsevier B.V.
DOI
10.1016/j.fss.2019.06.004
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