Siburg, Karl Friedrich; Stoimenov, Pavel A. Gluing copulas. (English) Zbl 1292.60025 Commun. Stat., Theory Methods 37, No. 19, 3124-3134 (2008). Summary: We present a new way of constructing \(n\)-copulas, by scaling and gluing finitely many \(n\)-copulas. Gluing for bivariate copulas produces a copula that coincides with the independence copula on some grid of horizontal and vertical sections. Examples illustrate how gluing can be applied to build complicated copulas from simple ones. Finally, we investigate the analytical as well as statistical properties of the copulas obtained by gluing, in particular, the behavior of Spearman’s \(\rho\) and Kendall’s \(\tau\). Cited in 1 ReviewCited in 32 Documents MSC: 60E05 Probability distributions: general theory 62H05 Characterization and structure theory for multivariate probability distributions; copulas Keywords:construction of copulas; copulas; horizontal section; Kendall’s tau; Spearman’s rho; vertical section PDF BibTeX XML Cite \textit{K. F. Siburg} and \textit{P. A. Stoimenov}, Commun. Stat., Theory Methods 37, No. 19, 3124--3134 (2008; Zbl 1292.60025) Full Text: DOI OpenURL References: [1] DOI: 10.1081/STA-200063351 · Zbl 1071.62047 [2] DOI: 10.1109/TFUZZ.2006.890681 · Zbl 05516334 [3] Durante F., Kybernetika 43 pp 209– (2007) [4] DOI: 10.1080/03610920500498758 · Zbl 1098.60017 [5] DOI: 10.1080/03610920701386976 · Zbl 1130.60017 [6] Nelsen R. B., An Introduction to Copulas., 2. ed. (2006) · Zbl 1152.62030 [7] Schweizer B., Probabilistic Metric Spaces (2005) [8] DOI: 10.1214/lnms/1215452606 [9] Sklar M., Publ. Inst. Statist. Univ. Paris 8 pp 229– (1959) This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.