A note on distortion effects on the strength of bivariate copula tail dependence

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

This note presents relationships between a base copula and the copula induced by distortion of the base copula in the strength of tail dependence measured by tail dependence coefficients and tail orders. We derive a theorem that determines the relationships for distortion functions satisfying conditions related to regular variation. In addition to the well-known logarithmic, power and dual-power distortions, Lomax-distribution and Weibull-distribution based distortions are considered. The results can be readily applied to distortions constructed by compositions of the considered distortions.

Original languageEnglish
Article number108894
JournalStatistics and Probability Letters
Volume166
DOIs
StatePublished - Nov 2020

Keywords

  • Copula
  • Distortion
  • Regular variation
  • Tail dependence coefficient
  • Tail order

Fingerprint

Dive into the research topics of 'A note on distortion effects on the strength of bivariate copula tail dependence'. Together they form a unique fingerprint.

Cite this