Multivariate copulas with cubic sections in one variable

Abstract

In this paper, we construct and characterise multivariate copulas with cubic sections in one variable. We also study some of their properties: ordering, dependence concepts, and a measure of multivariate association. Several examples illustrate our results.

Keywords:

• copulas
• concordance ordering
• dependence concepts
• multivariate Blomqvist's beta

Acknowledgements

This work was partially supported by the Ministerio de Educación y Ciencia (Spain) and FEDER, under research project MTM2006-12218, and the Junta de Andalucía (Spain). The author also acknowledges the careful reading of an anonymous referee.

Additional information

Notes on contributors

Manuel Úbeda-Flores

Email: [email protected]