Sibuya copulas

Abstract

A new class of copulas referred to as "Sibuya copulas"is introduced and its properties are investigated. Members of this class are of a functional form which was first investigated in the work of M. Sibuya. The construction of Sibuya copulas is based on an increasing stochastic process whose Laplace-Stieltjes transform enters the copula as a parameter function. Sibuya copulas also allow for idiosyncratic parameter functions and are thus quite flexible to model asymmetric dependences. If the stochastic process is allowed to have jumps, Sibuya copulas may have a singular component. Depending on the choice of the process, they may be extreme-value copulas, Lévy-frailty copulas, or Marshall-Olkin copulas. Further, as a special symmetric case, one may obtain any Archimedean copula with Laplace-Stieltjes transform as generator. Besides some general properties of Sibuya copulas, several examples are given and their properties are investigated in more detail. The construction scheme associated to Sibuya copulas provides a sampling algorithm. Further, it can be generalized, for example, to allow for hierarchical structures, or for an additional source of dependence via another copula. © 2012 Elsevier Inc.