New results on perturbation-based copulas

A prominent example of a perturbation of the bivariate product copula (which characterizes stochastic independence) is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled. We introduce and discuss several perturbations, some of them perturb...

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Autores principales:	Saminger-Platz Susanne, Kolesárová Anna, Šeliga Adam, Mesiar Radko, Klement Erich Peter
Formato:	article
Lenguaje:	EN
Publicado:	De Gruyter 2021
Materias:	copula dependence parameter eyraud-farlie-gumbel-morgenstern copula ordinal sum perturbation 60e05 62h05 62h20 Science (General) Q1-390 Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/6ade1b4eb22c4c2e88570bfe86f2ea51
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id	oai:doaj.org-article:6ade1b4eb22c4c2e88570bfe86f2ea51
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spelling	oai:doaj.org-article:6ade1b4eb22c4c2e88570bfe86f2ea512021-12-05T14:10:46ZNew results on perturbation-based copulas2300-229810.1515/demo-2021-0116https://doaj.org/article/6ade1b4eb22c4c2e88570bfe86f2ea512021-10-01T00:00:00Zhttps://doi.org/10.1515/demo-2021-0116https://doaj.org/toc/2300-2298A prominent example of a perturbation of the bivariate product copula (which characterizes stochastic independence) is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled. We introduce and discuss several perturbations, some of them perturbing the product copula, while others perturb general copulas. A particularly interesting case is the perturbation of the product based on two functions in one variable where we highlight several special phenomena, e.g., extremal perturbed copulas. The constructions of the perturbations in this paper include three different types of ordinal sums as well as flippings and the survival copula. Some particular relationships to the Markov product and several dependence parameters for the perturbed copulas considered here are also given.Saminger-Platz SusanneKolesárová AnnaŠeliga AdamMesiar RadkoKlement Erich PeterDe Gruyterarticlecopuladependence parametereyraud-farlie-gumbel-morgenstern copulaordinal sumperturbation60e0562h0562h20Science (General)Q1-390MathematicsQA1-939ENDependence Modeling, Vol 9, Iss 1, Pp 347-373 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	copula dependence parameter eyraud-farlie-gumbel-morgenstern copula ordinal sum perturbation 60e05 62h05 62h20 Science (General) Q1-390 Mathematics QA1-939
spellingShingle	copula dependence parameter eyraud-farlie-gumbel-morgenstern copula ordinal sum perturbation 60e05 62h05 62h20 Science (General) Q1-390 Mathematics QA1-939 Saminger-Platz Susanne Kolesárová Anna Šeliga Adam Mesiar Radko Klement Erich Peter New results on perturbation-based copulas
description	A prominent example of a perturbation of the bivariate product copula (which characterizes stochastic independence) is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled. We introduce and discuss several perturbations, some of them perturbing the product copula, while others perturb general copulas. A particularly interesting case is the perturbation of the product based on two functions in one variable where we highlight several special phenomena, e.g., extremal perturbed copulas. The constructions of the perturbations in this paper include three different types of ordinal sums as well as flippings and the survival copula. Some particular relationships to the Markov product and several dependence parameters for the perturbed copulas considered here are also given.
format	article
author	Saminger-Platz Susanne Kolesárová Anna Šeliga Adam Mesiar Radko Klement Erich Peter
author_facet	Saminger-Platz Susanne Kolesárová Anna Šeliga Adam Mesiar Radko Klement Erich Peter
author_sort	Saminger-Platz Susanne
title	New results on perturbation-based copulas
title_short	New results on perturbation-based copulas
title_full	New results on perturbation-based copulas
title_fullStr	New results on perturbation-based copulas
title_full_unstemmed	New results on perturbation-based copulas
title_sort	new results on perturbation-based copulas
publisher	De Gruyter
publishDate	2021
url	https://doaj.org/article/6ade1b4eb22c4c2e88570bfe86f2ea51
work_keys_str_mv	AT samingerplatzsusanne newresultsonperturbationbasedcopulas AT kolesarovaanna newresultsonperturbationbasedcopulas AT seligaadam newresultsonperturbationbasedcopulas AT mesiarradko newresultsonperturbationbasedcopulas AT klementerichpeter newresultsonperturbationbasedcopulas
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New results on perturbation-based copulas

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