Bivariate Contours of Copula

A. Chakak; M. Ezzerg

doi:10.1080/03610910008813608

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JOURNAL ARTICLE

Bivariate Contours of Copula

A. Chakak M. Ezzerg

Year: 2000 Journal: Communications in Statistics - Simulation and Computation Vol: 29 (1)Pages: 175-185 Publisher: Taylor & Francis

DOI: 10.1080/03610910008813608

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Abstract

Quantile functions associated with bivariate copulas are considered. Some of their structural properties are studied. Quantile functions allow one to express the cdf of the random variable C(X, Y), where (X, Y) is distributed as C(x, y) and where C is a copula. Quantile functions provide also a simple algorithm for simulating random observations.

Keywords:

Copula (linguistics) Quantile Bivariate analysis Mathematics Random variable Econometrics Statistics Statistical physics Applied mathematics Physics

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Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Bivariate Contours of Copula

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