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Construction of asymmetric multivariate copulas. (English) Zbl 1151.62043
J. Multivariate Anal. 99, No. 10, 2234-2250 (2008); erratum ibid. 102, No. 4, 869-870 (2011).
Summary: We introduce two methods for the construction of asymmetric multivariate copulas. The first is connected with products of copulas. The second approach generalises the Archimedean copulas. The resulting copulas are asymmetric and may have more than two parameters in contrast to most of the parametric families of copulas described in the literature. We study the properties of the proposed families of copulas such as the dependence of two components (Kendall’s tau, tail dependence), marginal distributions and the generation of random variates.

MSC:
62H05 Characterization and structure theory for multivariate probability distributions; copulas
62H20 Measures of association (correlation, canonical correlation, etc.)
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