A0572
Title: Dependence parameters of some perturbation-based copulas
Authors: Susanne Saminger-Platz - Johannes Kepler University Linz (Austria) [presenting]
Anna Kolesarova - Slovak University of Technology Bratislava (Slovakia)
Adam Seliga - Slovak University of Technology Bratislava (Slovakia)
Radko Mesiar - STU Bratislava (Slovakia)
Erich Peter Klement - Johannes Kepler University Linz (Austria)
Abstract: A prominent example of a perturbation of the bivariate independence copula is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas modeling (only) small dependencies. Allowing a larger parameter range and truncating with the lower and upper Frechet-Hoeffding copula bounds leads to a comprehensive extension of the family as has been shown by Huerlimann. We introduce and discuss some perturbation-based bivariate copulas by involving flipping and truncation and discuss several of their dependence parameters.
