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Multivariate copulas with quadratic sections in one variable

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Abstract

We introduce and characterize the class of multivariate copulas with quadratic sections in one variable, and study dependence properties and measures of multivariate association for that class. A subclass of copulas of that type is studied. Several examples are presented and analyzed.

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Authors and Affiliations

  1. Departamento de Estadística y Matemática Aplicada, Universidad de Almería, La Cañada de San Urbano, 04120, Almería, Spain

    José Antonio Rodríguez-Lallena & Manuel Úbeda-Flores

Authors
  1. José Antonio Rodríguez-Lallena
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  2. Manuel Úbeda-Flores
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Corresponding author

Correspondence to José Antonio Rodríguez-Lallena.

Additional information

This work was partially supported by the Ministerio de Educación y Ciencia (Spain) and FEDER, under research project MTM2006–12218, and also by the Consejería de Educación y Ciencia of the Junta de Andalucía (Spain).

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Rodríguez-Lallena, J.A., Úbeda-Flores, M. Multivariate copulas with quadratic sections in one variable. Metrika 72, 331–349 (2010). https://doi.org/10.1007/s00184-009-0256-1

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  • DOI: https://doi.org/10.1007/s00184-009-0256-1

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