Constructing and generalizing given multivariate copulas: a unifying approach

摘要

Recently, Liebscher [Construction of asymetric multivariate copulas, J. Multivariate Anal. 99 (2008), pp. 2234-2250] introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas [A method to obtain new copulas from a given one, Metrika 61 (2005), pp. 169-184] proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work, we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given.