On structural properties of an asymmetric copula family and its statistical implication
- 주제(키워드) Asymmetric copula , Copula transformation , Identifiability , Marshall–Olkin copula
- 등재 SCIE, SCOPUS
- 발행기관 Elsevier B.V.
- 발행년도 2020
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000169473
- 본문언어 영어
- Published As https://dx.doi.org/10.1016/j.fss.2019.06.004
초록/요약
Constructing new copulas by transforming a given copula is necessary to enhance the flexibility of the existing copula family. Among various copula transformations, the Khoudraji transformation (K-transformation), described in [16], provides a promising way to create asymmetric copulas. In this study, we completely characterize the invariance property of the K-transformation and discuss how the K-transformation changes measures of association or asymmetry of a copula. In particular, this study explores the identifiability issue of Khoudraji-transformed copula families. Some conditions for guaranteeing identifiable transformed copula families are provided. © 2019 Elsevier B.V.
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