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A note on distortion effects on the strength of bivariate copula tail dependence
Statistics & Probability Letters ( IF 0.8 ) Pub Date : 2020-11-01 , DOI: 10.1016/j.spl.2020.108894
Jungsywan H. Sepanski

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.

中文翻译:

关于失真对双变量 copula 尾部依赖性强度的影响的说明

摘要 本说明通过尾相关系数和尾阶数来衡量尾相关强度,介绍了基础 copula 与由基础 copula 失真引起的 copula 之间的关系。我们推导出一个定理,该定理确定满足与规则变化相关的条件的失真函数的关系。除了众所周知的对数、幂和双幂失真之外,还考虑了基于 Lomax 分布和威布尔分布的失真。结果可以很容易地应用于由所考虑的扭曲的组合构成的扭曲。
更新日期:2020-11-01
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