2013/10/21 by Cécile Amblard, Amblard, Cécile, Stéphane Girard +3
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact #Statistical Methods and Inference #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.1310.5560
openalex publication_date 2013/10/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We propose a semiparametric family of copulas based on a set of orthonormal functions and a matrix. This new copula permits to reach values of Spearman's Rho arbitrarily close to one without introducing a singular component. Moreover, it encompasses several extensions of FGM copulas as well as copulas based on partition of unity such as Bernstein or checkerboard copulas. Finally, it is also shown that projection of arbitrary densities of copulas onto tensor product bases can enter our framework.