Symmetry and dependence properties within a semiparametric family of bivariate copulas

Details Symmetry and dependence properties within a semiparametric family of bivariate copulas Symmetry and dependence properties within a semiparametric family of bivariate copulas

2011-03-30

arxiv.org/abs/1103.5953v1

Nonparametric Statistics, 14(6), 715-727, 2002

Mathematics

Statistics Theory

Scientific paper

In this paper, we study a semiparametric family of bivariate copulas. The family is generated by an univariate function, determining the symmetry (radial symmetry, joint symmetry) and dependence property (quadrant dependence, total positivity, ...) of the copulas. We provide bounds on different measures of association (such as Kendall's Tau, Spearman's Rho) for this family and several choices of generating functions allowing to reach these bounds.

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