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
2025-01-01
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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