A Flexible Construction for Bivariate Copulas Emphasizing Local Dependence

• Activity Number: 345 - Theory and Methods for Multivariate Analysis
• Type: Contributed
• Date/Time: Tuesday, July 31, 2018 : 10:30 AM to 12:20 PM
• Sponsor: IMS
• Author(s): Xiaonan Zhu* and Suttisak Wisadwongsa and Tonghui Wang
• Companies: New Mexico State University and Chiang Mai University and New Mexico State University
• Keywords: Copula; Construction of copulas; Patchwork; Local dependence; Best-possible bound

Abstract

For the purpose of describing the dependence among random variables, in recent years, copulas are extensively studied by researchers and have been applied in many fields. In this paper, a flexible construction for bivariate copulas is provided, which is a generalization of the so-called "gluing method" and "rectangular patchwork" constructions of bivariate copulas. The statistical interpretation and properties of the construction are investigated. For the illustration of our results, several examples are given.