The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators.
@article{bwmeta1.element.doi-10_1515_demo-2017-0009,
author = {Piotr Jaworski},
title = {On Truncation Invariant Copulas and their Estimation},
journal = {Dependence Modeling},
volume = {5},
year = {2017},
pages = {133-144},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0009}
}
Piotr Jaworski. On Truncation Invariant Copulas and their Estimation. Dependence Modeling, Tome 5 (2017) pp. 133-144. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0009/