Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Construction of bivariate asymmetric copulas

  • Mukherjee, Saikat (Department of Mathematics, National Institute of Technology) ;
  • Lee, Youngsaeng (Department of Statistics, Chonnam National University) ;
  • Kim, Jong-Min (Division of Science and Mathematics, University of Minnesota-Morris) ;
  • Jang, Jun (Center for Information Analysis, Chungnam National University) ;
  • Park, Jeong-Soo (Department of Mathematics, National Institute of Technology)
  • Received : 2017.11.10
  • Accepted : 2017.12.31
  • Published : 2018.03.31
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Abstract

Copulas are a tool for constructing multivariate distributions and formalizing the dependence structure between random variables. From copula literature review, there are a few asymmetric copulas available so far while data collected from the real world often exhibit asymmetric nature. This necessitates developing asymmetric copulas. In this study, we discuss a method to construct a new class of bivariate asymmetric copulas based on products of symmetric (sometimes asymmetric) copulas with powered arguments in order to determine if the proposed construction can offer an added value for modeling asymmetric bivariate data. With these newly constructed copulas, we investigate dependence properties and measure of association between random variables. In addition, the test of symmetry of data and the estimation of hyper-parameters by the maximum likelihood method are discussed. With two real example such as car rental data and economic indicators data, we perform the goodness-of-fit test of our proposed asymmetric copulas. For these data, some of the proposed models turned out to be successful whereas the existing copulas were mostly unsuccessful. The method of presented here can be useful in fields such as finance, climate and social science.

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References

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