Tail dependence of perturbed copulas
In this paper, we extend our investigations of a special class of perturbations of copulas introduced in [7]. Despite a surprising fact that this kind of perturbations does not change the value of tail dependence of the original copulas, their use yielded models with considerably improved fitting qu...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2016-05-01
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| Series: | Journal of Statistical Theory and Applications (JSTA) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/25856824.pdf |