Name
Abstract | ||
|---|---|---|
This paper introduces a new class of copulas and shows its relevance for applications. In particular, a stochastic interpretation in terms of a system of dependence components affected by a global shock is given. As a main feature of the model, the global shock has an opposite effect on the different components of the system. Copulas generated by this mechanism are characterized in the bivariate case and their main properties are illustrated. Connections with concepts like semilinear copulas and conic aggregation functions are also highlighted. Moreover, a high dimensional extension is presented. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1016/j.fss.2016.09.006 | Fuzzy Sets and Systems |
Keywords | Field | DocType |
Copula,Dependence concepts,Marshall–Olkin distribution,Shock models,Tail dependence | Discrete mathematics,Applied mathematics,Mathematical economics,Tail dependence,Linkage (mechanical),Copula (linguistics),Conic section,Bivariate analysis,Mathematics,Stochastic interpretation | Journal |
Volume | ISSN | Citations |
323 | 0165-0114 | 2 |
PageRank | References | Authors |
0.46 | 7 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Fabrizio Durante | 1 | 391 | 59.28 |
| matjaž omladic | 2 | 9 | 5.43 |
| Lovrenc Orazem | 3 | 2 | 0.46 |
| Nina Ruzic | 4 | 6 | 1.00 |