Research Article
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Year 2011, Volume: 24 Issue: 3, 415 - 424, 25.11.2011

Abstract

References

  • Nelsen, R.B., An Introduction to Copulas, Springer Verlag, NY, (2006).
  • Dall’Aglio, G., “Fréchet classes and compatibility of distribution functions”, Symp. Math. 9: 131-150, (1972).
  • Quesada-Molina, J. J., Rodriguez-Lallena, J.A., “Some advances in the study of the compatibility of three bivariate copulas”, Journal of the Italian Statistical Society, 3: 397-417, (1994).
  • Sungur, E.A., “A note on directional dependence in regression setting”, Communication in Statistics- Theory and Methods, 34(9-10): 1957-1965, (2005).
  • Rodríguez-Lallena, J.A., Úbeda-Flores, M., “A new class of bivariate copulas”,Statistics & Probability Letters,66: 315-325, (2004).
  • Nelsen, R.B. Quesada-Molina, J. J., Rodriguez- Lallena, J.A., “Bivariate copulas with cubic sections”, Journal of Nonparametric Statistics, 7: 205-220, (1997).
  • Genest, C., Ghoudi, K., and Rivest, L.P., “Understanding relationships using copulas”, by Edward Frees and Emiliano Valdez, North American Actuarial Journal, 2(3):143-149, (1998).
  • Frees, E.W. and Valdez, E.A., “Understanding relationships using copulas”, North American Actuarial Journal, 2(1):1-25 (1998).

Copulas with Directional Dependence Property

Year 2011, Volume: 24 Issue: 3, 415 - 424, 25.11.2011

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.

References

  • Nelsen, R.B., An Introduction to Copulas, Springer Verlag, NY, (2006).
  • Dall’Aglio, G., “Fréchet classes and compatibility of distribution functions”, Symp. Math. 9: 131-150, (1972).
  • Quesada-Molina, J. J., Rodriguez-Lallena, J.A., “Some advances in the study of the compatibility of three bivariate copulas”, Journal of the Italian Statistical Society, 3: 397-417, (1994).
  • Sungur, E.A., “A note on directional dependence in regression setting”, Communication in Statistics- Theory and Methods, 34(9-10): 1957-1965, (2005).
  • Rodríguez-Lallena, J.A., Úbeda-Flores, M., “A new class of bivariate copulas”,Statistics & Probability Letters,66: 315-325, (2004).
  • Nelsen, R.B. Quesada-Molina, J. J., Rodriguez- Lallena, J.A., “Bivariate copulas with cubic sections”, Journal of Nonparametric Statistics, 7: 205-220, (1997).
  • Genest, C., Ghoudi, K., and Rivest, L.P., “Understanding relationships using copulas”, by Edward Frees and Emiliano Valdez, North American Actuarial Journal, 2(3):143-149, (1998).
  • Frees, E.W. and Valdez, E.A., “Understanding relationships using copulas”, North American Actuarial Journal, 2(1):1-25 (1998).
There are 8 citations in total.

Details

Primary Language English
Subjects Engineering
Journal Section Statistics
Authors

Engin Sungur This is me

Salih Çelebioğlu

Publication Date November 25, 2011
Published in Issue Year 2011 Volume: 24 Issue: 3

Cite

APA Sungur, E., & Çelebioğlu, S. (2011). Copulas with Directional Dependence Property. Gazi University Journal of Science, 24(3), 415-424.
AMA Sungur E, Çelebioğlu S. Copulas with Directional Dependence Property. Gazi University Journal of Science. November 2011;24(3):415-424.
Chicago Sungur, Engin, and Salih Çelebioğlu. “Copulas With Directional Dependence Property”. Gazi University Journal of Science 24, no. 3 (November 2011): 415-24.
EndNote Sungur E, Çelebioğlu S (November 1, 2011) Copulas with Directional Dependence Property. Gazi University Journal of Science 24 3 415–424.
IEEE E. Sungur and S. Çelebioğlu, “Copulas with Directional Dependence Property”, Gazi University Journal of Science, vol. 24, no. 3, pp. 415–424, 2011.
ISNAD Sungur, Engin - Çelebioğlu, Salih. “Copulas With Directional Dependence Property”. Gazi University Journal of Science 24/3 (November 2011), 415-424.
JAMA Sungur E, Çelebioğlu S. Copulas with Directional Dependence Property. Gazi University Journal of Science. 2011;24:415–424.
MLA Sungur, Engin and Salih Çelebioğlu. “Copulas With Directional Dependence Property”. Gazi University Journal of Science, vol. 24, no. 3, 2011, pp. 415-24.
Vancouver Sungur E, Çelebioğlu S. Copulas with Directional Dependence Property. Gazi University Journal of Science. 2011;24(3):415-24.