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On Truncation Invariant Copulas and their Estimation

On Truncation Invariant Copulas and their Estimation AbstractThe paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

On Truncation Invariant Copulas and their Estimation

Dependence Modeling , Volume 5 (1): 12 – Jan 26, 2017

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Publisher
de Gruyter
Copyright
© 2017
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2017-0009
Publisher site
See Article on Publisher Site

Abstract

AbstractThe paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators.

Journal

Dependence Modelingde Gruyter

Published: Jan 26, 2017

References