Citation
Jin, Pauline Wee Mah and Shitan, Mahendran
(2014)
Construction of a new bivariate copula based on Ruschendorf method.
Applied Mathematical Sciences, 8 (153).
pp. 7645-7658.
ISSN 1312-885X; ESSN: 1314-7552
Abstract
Copula modelling is useful and popular in many areas of statistics like finance, hydrology, drought study, etc. Construction of new copula can be based on Ruschendorf method and in this study, we construct a new copula based on a function which consists of the component of exponential functions. We prove that this new copula satisfies all necessary properties of a copula. We have also studied some dependence properties of the newly constructed copula, namely, the Kendall's T, Spearman's p and tail dependence.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science Institute for Mathematical Research |
| Publisher: | Hikari |
| Keywords: | Copulas; Ruschendorf method; 2-increasing property; Tail dependence |
| Depositing User: | Nabilah Mustapa |
| Date Deposited: | 12 Jan 2016 00:14 |
| Last Modified: | 12 Jan 2016 00:15 |
| URI: | http://psasir.upm.edu.my/id/eprint/36891 |
| Statistic Details: | View Download Statistic |
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