A method to obtain new copulas from a given one

MORILLAS PATRICIA MARIELA

METRIKA

Springer-Verlag

Lugar: Heidelberg, Alemania; Año: 2005 vol. 61 p. 169 - 184

0026-1335

Given a strictly increasing continuous function j from [0, 1] to [0, 1] and its pseudo- inverse j[- 1], conditions that j must satisfy for Cj(x1, ..., xn) = j[- 1][- 1](C(j(x1), ..., j(xn))) to be a copula for any copula C are studied. Some basic properties of the copulas obtained in this way are analyzed and several examples of generator functions j that can be used to construct copulas Cj are presented. In this manner, a method to obtain from a given copula C a variety of new copulas is provided. This method generalizes that used to construct Archimedean copulas in which the original copula C is the product copula, and it is related with mixtures.