Abstract
In this paper, a flexible method for constructing bivariate copulas is provided, which is a generalization of the so-called “gluing method” and “rectangular patchwork” constructions. A probabilistic interpretation of the construction is provided through the concept of the threshold copula. Properties of the construction and best-possible bounds of copulas with given threshold copulas are investigated. Examples are given for the illustration of our results.
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Acknowledgments
The authors would like to thank Dr. S. Tasena at Chiang Mai University, Thailand, for his valuable discussions and suggestions during the preparation of this paper.
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Zhu, X., Shan, Q., Wisadwongsa, S., Wang, T. (2019). Flexible Constructions for Bivariate Copulas Emphasizing Local Dependence. In: Kreinovich, V., Sriboonchitta, S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Computational Intelligence, vol 808. Springer, Cham. https://doi.org/10.1007/978-3-030-04263-9_10
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