Construction of a bivariate copula by Rüschendorf’s method

Mehmet Yılmaz; Muhammet Bekçı

doi:10.17776/csj.753556

EN

Construction of a bivariate copula by Rüschendorf’s method

Abstract

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.

Keywords

References

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Details

Primary Language

English

Subjects

Statistics

Journal Section

Research Article

Authors

Mehmet Yılmaz ^*
0000-0002-9762-6688
Türkiye

Muhammet Bekçı
0000-0001-9642-872X
Türkiye

Publication Date

March 29, 2021

Submission Date

June 16, 2020

Acceptance Date

January 18, 2021

Published in Issue

Year 2021 Volume: 42 Number: 1

DOI

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

IZ

https://izlik.org/JA93AT86HY

Cite

RIS / Bibtex

APA

Yılmaz, M., & Bekçı, M. (2021). Construction of a bivariate copula by Rüschendorf’s method. Cumhuriyet Science Journal, 42(1), 201-208. https://doi.org/10.17776/csj.753556

Cited By

Bivariate Analysis of Pollutants Monthly Maxima in Mexico City Using Extreme Value Distributions and Copula

Journal of Environmental Protection

https://doi.org/10.4236/jep.2024.157046

Öz

Construction of a bivariate copula by Rüschendorf’s method

Abstract

Keywords

References

Details

Primary Language

Subjects

Journal Section

Authors

Publication Date

Submission Date

Acceptance Date

Published in Issue

DOI

IZ

Cite

Cited By

Bivariate Analysis of Pollutants Monthly Maxima in Mexico City Using Extreme Value Distributions and Copula