Diverse Copulas through Durante's Method. Exploring Parametric Functions
This article unveils the often underestimated potential of a copula methodology introduced by Durante in 2009. It highlights the remarkable ability of the method to generate a broad spectrum of copulas by exploiting various parametric functions. Our exploration encompasses a collection of power-like...
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| Format: | Article |
| Language: | English |
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Wrocław University of Science and Technology
2024-01-01
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| Series: | Operations Research and Decisions |
| Online Access: | https://ord.pwr.edu.pl/assets/papers_archive/ord2024vol34no3_4.pdf |
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| author | Christophe Chesneau |
| author_facet | Christophe Chesneau |
| author_sort | Christophe Chesneau |
| collection | DOAJ |
| description | This article unveils the often underestimated potential of a copula methodology introduced by Durante in 2009. It highlights the remarkable ability of the method to generate a broad spectrum of copulas by exploiting various parametric functions. Our exploration encompasses a collection of power-like, exponential-like, trigonometric-like, logarithmic-like, hyperbolic-like and error-like functions, each dependent on one, two, or three parameters, effectively satisfying the necessary assumptions of Durante's method. The proofs provided rely on suitable differentiation, comprehensive factorizations, and judicious application of mathematical inequalities. In the vast repertoire of copulas derived from this methodology, we present three distinct series of eight new copulas, supported by a graphical analysis of their respective densities. This theoretical study not only expands the understanding of copula generation but also introduces a new perspective on their construction in various contexts. (original abstract) |
| format | Article |
| id | doaj-art-3d68f23ad3724293ba5d6a294d9cc3c4 |
| institution | Kabale University |
| issn | 2081-8858 2391-6060 |
| language | English |
| publishDate | 2024-01-01 |
| publisher | Wrocław University of Science and Technology |
| record_format | Article |
| series | Operations Research and Decisions |
| spelling | doaj-art-3d68f23ad3724293ba5d6a294d9cc3c42025-08-20T03:50:05ZengWrocław University of Science and TechnologyOperations Research and Decisions2081-88582391-60602024-01-01vol. 34no. 36186171700328Diverse Copulas through Durante's Method. Exploring Parametric FunctionsChristophe Chesneau0University of Caen-Normandie, FranceThis article unveils the often underestimated potential of a copula methodology introduced by Durante in 2009. It highlights the remarkable ability of the method to generate a broad spectrum of copulas by exploiting various parametric functions. Our exploration encompasses a collection of power-like, exponential-like, trigonometric-like, logarithmic-like, hyperbolic-like and error-like functions, each dependent on one, two, or three parameters, effectively satisfying the necessary assumptions of Durante's method. The proofs provided rely on suitable differentiation, comprehensive factorizations, and judicious application of mathematical inequalities. In the vast repertoire of copulas derived from this methodology, we present three distinct series of eight new copulas, supported by a graphical analysis of their respective densities. This theoretical study not only expands the understanding of copula generation but also introduces a new perspective on their construction in various contexts. (original abstract)https://ord.pwr.edu.pl/assets/papers_archive/ord2024vol34no3_4.pdf |
| spellingShingle | Christophe Chesneau Diverse Copulas through Durante's Method. Exploring Parametric Functions Operations Research and Decisions |
| title | Diverse Copulas through Durante's Method. Exploring Parametric Functions |
| title_full | Diverse Copulas through Durante's Method. Exploring Parametric Functions |
| title_fullStr | Diverse Copulas through Durante's Method. Exploring Parametric Functions |
| title_full_unstemmed | Diverse Copulas through Durante's Method. Exploring Parametric Functions |
| title_short | Diverse Copulas through Durante's Method. Exploring Parametric Functions |
| title_sort | diverse copulas through durante s method exploring parametric functions |
| url | https://ord.pwr.edu.pl/assets/papers_archive/ord2024vol34no3_4.pdf |
| work_keys_str_mv | AT christophechesneau diversecopulasthroughdurantesmethodexploringparametricfunctions |