Copulas with given values on the tails

We provide sufficient conditions for constructing bivariate copulas with given values in rectangles at the corners of the unit square, and find best-possible bounds for copulas of this type. •Bivariate copulas with given values in rectangles at the corners of the unit square are constructed.•Best-po...

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Bibliographic Details
Published in:International journal of approximate reasoning 2017-06, Vol.85, p.59-67
Main Authors: Durante, Fabrizio, Fernández-Sánchez, Juan, Quesada-Molina, José Juan, Úbeda-Flores, Manuel
Format: Article
Language:English
Subjects:
Copula
Fréchet–Hoeffding bounds
Optimization
Quasi-copula
Tail dependence
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Summary:We provide sufficient conditions for constructing bivariate copulas with given values in rectangles at the corners of the unit square, and find best-possible bounds for copulas of this type. •Bivariate copulas with given values in rectangles at the corners of the unit square are constructed.•Best-possible bounds for copulas of this type are given.•Possible applications in tail dependent models are emphasized.
ISSN:0888-613X
1873-4731
DOI:10.1016/j.ijar.2017.03.010