Diagonal copulas of archimedean class

Engin A. Sungur, Yimin Yang

    Research output: Contribution to journalArticlepeer-review

    15 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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