Volume 6, 2023
Statistical Inference in Markov Processes and Copula Models
|Number of page(s)||7|
|Section||Mathematics - Applied Mathematics|
|Published online||14 February 2023|
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
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.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.