Distorted copulas: constructions and tail dependence
نویسندگان
چکیده
Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1], the distortion Cψ : [0, 1] → [0, 1], Cψ(x, y) = ψ(C(ψ−1(x)), ψ−1(y)), is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on ψ which ensures that any distortion of C by means of ψ is again a copula. The presented results allow us to introduce in a more flexible way families of copulas exhibiting different behaviour in the tails.
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