Copulas with Directional Dependence Property

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Gazi University Journal of Science
Volume:24 Issue:3
Copulas with Directional Dependence Property

Copulas with Directional Dependence Property

Authors : Engin SUNGUR, Salih ÇELEBİOĞLU

Pages : 415-424

View : 9 | Download : 7

Publication Date : 2011-11-25

Article Type : Research Paper

Abstract :In this article, we introduce a new way of generating copulas with the directional dependence property based on the logistic regression. The studied class of copulas leads to nonsymmetrical copula structures, therefore allowing for the development of various directional dependence models. The setup introduced in the research can be easily adapted to wide range of dependence modeling applications.
Keywords : Conditional Copulas, Directional Dependence, Logistic Regression, Principal Component Analysis

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