2009•Communication in Statistics- Theory and MethodsRequires access
Rectangular Patchwork for Bivariate Copulas and Tail Dependence
Fabrizio Durante, Susanne Saminger‐Platz, Peter Sarkoci
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Abstract
We present a method for constructing bivariate copulas by changing the values that a given copula assumes on some subrectangles of the unit square. Some applications of this method are discussed, especially in relation to the construction of copulas with different tail dependencies.