Journal
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
Volume 52, Issue 18, Pages 6341-6354Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/03610926.2022.2028837
Keywords
Copula function; integral transformation; dependence properties; Archimedean copula
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This article studies an integral transformation of the copula function and proves that under certain conditions, the studied transformation remains a copula function. The article also explores properties of the integral transformation and derives bounds for Kendall's tau and Spearman's rho.
In this article, we study an integral transformation of the copula function. We prove that under certain conditions, the studied integral transformation is also the copula function. Some properties of the integral transformation of a copula function are studied. Also we derive bounds for Kendall's tau and Spearman's rho.
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