Construction of a bivariate copula by Rüschendorf’s method

Mehmet YILMAZ; Muhammet BEKÇI

doi:https://doi.org/10.17776/csj.753556

Makale detayları

Construction of a bivariate copula by Rüschendorf’s method

Yazarlar:

Mehmet YILMAZ | Muhammet BEKÇI

Ana Başlıklar:

Analiz

Dergi:

Cumhuriyet Science Journal 2021 Vol.42 Issue 1, pp.201-208

Belge Tipi:

Makale

Yayın Tarihi:

3/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000920326

DOI:

https://doi.org/10.17776/csj.753556

Özet:

 

In this paper, a new copula model with given unit marginals is proposed, based on Rüschendorf’s Method. A new bivariate copula family is introduced by adding a proper term to independence copula. Thus, we avoid the complexity of the proposed copula model. By choosing a baseline copula from the same marginal, we derive a new copula that can approach from above towards the independence copula. Furthermore, it is established that a bivariate copula constructed by this method allows some flexibility in the dependence measure according to Spearman’s correlation coefficient. Additionally, tail dependence measures are investigated. Illustrative examples are given taking into account the specific choices of a baseline copula.

Makale detayları

Construction of a bivariate copula by Rüschendorf’s method

Yazarlar: Mehmet YILMAZ | Muhammet BEKÇI

Ana Başlıklar: Analiz

Dergi: Cumhuriyet Science Journal 2021 Vol.42 Issue 1, pp.201-208

Belge Tipi: Makale

Yayın Tarihi: 3/2021

Belge Dili: İngilizce

Document ID (Org No.): 2000920326

DOI: https://doi.org/10.17776/csj.753556

Sayı

Yazarlar:

Mehmet YILMAZ | Muhammet BEKÇI

Ana Başlıklar:

Analiz

Dergi:

Cumhuriyet Science Journal 2021 Vol.42 Issue 1, pp.201-208

Belge Tipi:

Makale

Yayın Tarihi:

3/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000920326

DOI:

https://doi.org/10.17776/csj.753556