Copulas with directional dependence property

Engin A. Sungur, Salih Çelebioǧlu

    Research output: Contribution to journalArticlepeer-review

    2 Scopus citations

    Abstract

    In this article, we introduce a new way of generating copulas with the directional dependence property based on the logistic regression. The studied class of copulas leads to nonsymmetrical copula structures, therefore allowing for the development of various directional dependence models. The setup introduced in the research can be easily adapted to wide range of dependence modeling applications.

    Original languageEnglish (US)
    Pages (from-to)415-424
    Number of pages10
    JournalGazi University Journal of Science
    Volume24
    Issue number3
    StatePublished - 2011

    Keywords

    • Conditional copulas
    • Directional dependence
    • Logistic regression
    • Principal component analysis

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