A method for constructing higher-dimensional copulas

For every n≥3, a method is introduced and investigated for generating n-dimensional copulas starting with an (n−1)-dimensional copula already known. These copulas are particularly useful when the behaviour of a random vector (X 1 , X 2 , ..., X n−1 ) formed by n−1 components is known, but another ra...

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Bibliographic Details
Published in:Statistics (Berlin, DDR) DDR), 2012-06, Vol.46 (3), p.387-404
Main Authors: Durante, Fabrizio, Foscolo, Enrico, Rodríguez-Lallena, José Antonio, Úbeda-Flores, Manuel
Format: Article
Language:English
Subjects:
Construction methods
copula
Farlie-Gumbel-Morgenstern distribution
Random variables
sampling procedure
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Summary:For every n≥3, a method is introduced and investigated for generating n-dimensional copulas starting with an (n−1)-dimensional copula already known. These copulas are particularly useful when the behaviour of a random vector (X 1 , X 2 , ..., X n−1 ) formed by n−1 components is known, but another random variable, say X n , should be included into the model. An illustration of the usefulness of this construction is presented, showing some of its computational features.
ISSN:0233-1888
1029-4910
DOI:10.1080/02331888.2010.535903