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Construction of a new bivariate copula based on Ruschendorf method


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


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
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