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Flexible Constructions for Bivariate Copulas Emphasizing Local Dependence

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Structural Changes and their Econometric Modeling (TES 2019)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 808))

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Abstract

In this paper, a flexible method for constructing bivariate copulas is provided, which is a generalization of the so-called “gluing method” and “rectangular patchwork” constructions. A probabilistic interpretation of the construction is provided through the concept of the threshold copula. Properties of the construction and best-possible bounds of copulas with given threshold copulas are investigated. Examples are given for the illustration of our results.

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Acknowledgments

The authors would like to thank Dr. S. Tasena at Chiang Mai University, Thailand, for his valuable discussions and suggestions during the preparation of this paper.

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Authors and Affiliations

  1. Department of Mathematical Sciences, New Mexico State University, Las Cruces, USA

    Xiaonan Zhu & Tonghui Wang

  2. School of Statistics, Jiangxi University of Finance and Economics, Nanchang, China

    Qingsong Shan

  3. Graduate School, Chiang Mai University, Chiang Mai, Thailand

    Suttisak Wisadwongsa

Authors
  1. Xiaonan Zhu
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  2. Qingsong Shan
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  3. Suttisak Wisadwongsa
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  4. Tonghui Wang
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Corresponding author

Correspondence to Tonghui Wang .

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Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso, El Paso, TX, USA

    Vladik Kreinovich

  2. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Songsak Sriboonchitta

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Zhu, X., Shan, Q., Wisadwongsa, S., Wang, T. (2019). Flexible Constructions for Bivariate Copulas Emphasizing Local Dependence. In: Kreinovich, V., Sriboonchitta, S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Computational Intelligence, vol 808. Springer, Cham. https://doi.org/10.1007/978-3-030-04263-9_10

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