
 New Families of Copulas Based on Periodic Functions by Aurélien Alfonsi of Ecole Nationale des Ponts et Chaussées, and December 19, 2005 Abstract: Although there exists a large variety of copula functions, only a few are practically manageable, and often the choice in dependence modeling falls on the Gaussian copula. Further, most copulas are exchangeable, thus implying symmetric dependence. We introduce a way to construct copulas based on periodic functions. We study the two dimensional case based on one dependence parameter and then provide a way to extend the construction to the n dimensional framework. We can thus construct families of copulas in dimension n and parameterized by n  1 parameters, implying possibly asymmetric relations. Such "periodic" copulas can be simulated easily. Keywords: copula functions, nonexchangeable copulas. Published in: Communications in Statistics: Theory and Methods, Vol. 34, No. 7, (2005), pp. 14371447. Books Referenced in this paper: (what is this?) 