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).
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.
Keywords
Conditional Copulas Directional Dependence Logistic Regression Principal Component Analysis.
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).
Details
| Primary Language | English |
|---|---|
| Subjects | Engineering |
| Journal Section | Research Article |
| Authors | |
| Publication Date | November 25, 2011 |
| Published in Issue | Year 2011 Volume: 24 Issue: 3 |