Kybernetika 50 no. 1, 109-125, 2014

Bivariate copulas: Transformations, asymmetry and measures of concordance

Sebastian Fuchs and Klaus D. SchmidtDOI: 10.14736/kyb-2014-1-0109

Abstract:

The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transformed into an asymmetric one and (2) a condition under which for a given copula the value of every measure of concordance is equal to zero. The group also contains a subgroup which is of particular interest since its four elements preserve symmetry, the order between two copulas and the value of every measure of concordance.

Keywords:

asymmetry, bivariate copulas, transformations, measures of concordance

Classification:

60E05, 62E10, 62H20, 20C99

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