Diagonal copulas of archimedean class

Engin A. Sungur, Yimin Yang

Research output: Contribution to journalArticlepeer-review

16 Scopus citations

Abstract

In this paper the concept of diagonal copulas is introduced and its properties are examined. It is shown that for the Archimedean class, the diagonal copula uniquely determines the corresponding copula. This fact helps to reduce the dimension and makes it easier to understand the underlying dependence structure without losing any information. Therefore diagonal copulas can be used in various stages of dependence model building, selection, fitting and diagnostics. In this paper we consider some of the possibilities on estimation, test of hypotheses and graphical data analysis.

Original languageEnglish (US)
Pages (from-to)1659-1676
Number of pages18
JournalCommunications in Statistics - Theory and Methods
Volume25
Issue number7
DOIs
StatePublished - 1996

Bibliographical note

Funding Information:
* Research was supported by the University of Minnesota Graduate School Summer Research fellowship.

Keywords

  • Archimedean copulas
  • Copulas
  • Diagonal copulas

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