Construction of asymmetric multivariate copulas

Authors:
Eckhard Liebscher
Affiliations:
University of Applied Sciences Merseburg, Department of Computer Sciences and Communication Systems, Geusaer Straíe, 06217 Merseburg, Germany
Venue:
Journal of Multivariate Analysis
Year:
2008

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Erratum: Erratum to “Construction of asymmetric multivariate copulas” [J. Multivariate Anal. 99 (2008) 2234-2250

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Abstract

In this paper we introduce two methods for the construction of asymmetric multivariate copulas. The first is connected with products of copulas. The second approach generalises the Archimedean copulas. The resulting copulas are asymmetric and may have more than two parameters in contrast to most of the parametric families of copulas described in the literature. We study the properties of the proposed families of copulas such as the dependence of two components (Kendall's tau, tail dependence), marginal distributions and the generation of random variates.