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A method for the elicitation of copulas
- Source :
- 4 open, Vol 6, p 2 (2023)
- Publication Year :
- 2023
- Publisher :
- EDP Sciences, 2023.
-
Abstract
- 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.
- Subjects :
- dependence
exchangeability
representations of de finetti
Medicine
Science
Subjects
Details
- Language :
- English
- ISSN :
- 25570250
- Volume :
- 6
- Database :
- Directory of Open Access Journals
- Journal :
- 4 open
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.256b535162c641809712c17ed20b9bb8
- Document Type :
- article
- Full Text :
- https://doi.org/10.1051/fopen/2023001