| Issue |
4open
Volume 6, 2023
Statistical Inference in Markov Processes and Copula Models
|
|
|---|---|---|
| Article Number | 2 | |
| Number of page(s) | 7 | |
| Section | Mathematics - Applied Mathematics | |
| DOI | https://doi.org/10.1051/fopen/2023001 | |
| Published online | 14 February 2023 | |
Research Article
A method for the elicitation of copulas
Department of Statistics, University of Campinas, Sergio Buarque de Holanda, 651, Campinas, S.P. CEP: 13083-859, Brazil
* Corresponding author: v245362@dac.unicamp.br; viniliff@gmail.com
Received:
15
September
2022
Accepted:
4
January
2023
In this paper, we introduce a method to construct copulas. The method is based on combining the partial derivatives of two copulas. We prove that the proposed method provides a copula. Then, we exemplify the application of the method in several cases, illustrating the versatility of the method. We also prove that using copulas from the family introduced in Rodríguez-Lallena and Úbeda-Flores (2004) [Stat Probab Lett 66, 3, 315–325. https://doi.org/10.1016/j.spl.2003.09.010], the method provides a copula inside that family.
Key words: Dependence / Exchangeability / Representations of de Finetti
© V.A. González-López et al., Published by EDP Sciences, 2023
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.