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New constructions of diagonal patchwork copulas
Journal article   Peer reviewed

New constructions of diagonal patchwork copulas

Fabrizio Durante, JA Rodríguez-Lallena and M Úbeda-Flores
Information Sciences, Vol.179, pp.3383-3391
179
2009
Handle:
https://hdl.handle.net/10863/40135

Abstract

We present a method for constructing symmetric copulas which generalizes the diagonal patchwork construction of copulas procedure. We also show how it is related to a new construction of a generalized Farlie--Gumbel--Morgenstern distribution and to the copula transforms.
url
doi.org/10.1016/j.ins.2009.06.007View

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