Invariant dependence structures and Archimedean copulas

被引：15

作者：

Durante, Fabrizio ^{[2
]}

Jaworski, Piotr ^{[1
]}

Mesiar, Radko ^{[3
,4
]}

机构：

[1] Univ Warsaw, Inst Math, Warsaw, Poland

[2] Free Univ Bozen Bolzano, Sch Econ & Management, Bolzano, Italy

[3] Slovak Univ Technol Bratislava, Dept Math & Descript Geometry, Bratislava, Slovakia

[4] Acad Sci Czech Republ, Inst Informat Theory & Automat, CR-18208 Prague, Czech Republic

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 12期

关键词：

Archimedean copula; Clayton model; Copula; Tail dependence; MULTIVARIATE; DISTRIBUTIONS; INFERENCE; MODELS;

D O I：

10.1016/j.spl.2011.08.018

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties; it is generated by means of a univariate function; it can capture non-exchangeable dependence structures: it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1995 / 2003

页数：9

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