In this paper, we deal with the problem of preserving the copula property by means of a suitable composition of a multivariate copula with a bivariate one. A deep connection with a general method of construction of copulas, called distortion, is shown. The methodology is grounded in a general theorem connecting the 𝑑-increasingness property of a real function of 𝑑-variables to its partial derivatives. A characterization theorem is proved. Several examples are presented.
Directly compatible copulas
Ghiselli Ricci
2025
Abstract
In this paper, we deal with the problem of preserving the copula property by means of a suitable composition of a multivariate copula with a bivariate one. A deep connection with a general method of construction of copulas, called distortion, is shown. The methodology is grounded in a general theorem connecting the 𝑑-increasingness property of a real function of 𝑑-variables to its partial derivatives. A characterization theorem is proved. Several examples are presented.
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