New constructions of diagonal patchwork copulas

  • Authors:
  • Fabrizio Durante;José Antonio Rodríguez-Lallena;Manuel íbeda-Flores

  • Affiliations:
  • Department of Knowledge-Based Mathematical Systems, Johannes Kepler University, A-4040 Linz, Austria;Departamento de Estadística y Matemática Aplicada, Universidad de Almería, 04120 La Cañada de San Urbano (Almería), Spain;Departamento de Estadística y Matemática Aplicada, Universidad de Almería, 04120 La Cañada de San Urbano (Almería), Spain

  • Venue:
  • Information Sciences: an International Journal
  • Year:
  • 2009

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Abstract

We present a method for constructing symmetric copulas which generalizes the diagonal patchwork construction of copulas procedure. We also show how it is related to a new construction of a generalized Farlie-Gumbel-Morgenstern distribution and to the copula transforms.