Dependence and order in families of Archimedean copulas
From MaRDI portal
Publication:1369669
DOI10.1006/jmva.1996.1646zbMath0883.62049OpenAlexW2083515875MaRDI QIDQ1369669
Publication date: 9 March 1998
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmva.1996.1646
Archimedean copulasbivariate distributionupper tail dependenceconcordance orderinglower tail dependence
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)
Related Items (18)
A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA ⋮ LTD and RTI dependence orderings ⋮ A new class of symmetric bivariate copulas ⋮ Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties ⋮ The Use of Archimedean Copulas to Model Portfolio Allocations ⋮ Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family ⋮ A new algorithm based on copulas for VaR valuation with empirical calculations ⋮ Independence results for multivariate tail dependence coefficients ⋮ Likelihood inference for Archimedean copulas in high dimensions under known margins ⋮ Estimating value at risk of portfolio by conditional copula-GARCH method ⋮ Stochastic comparisons for time transformed exponential models ⋮ Some properties of the bivariate Burr type III distribution ⋮ Dependence structure of conditional Archimedean copulas ⋮ Properties of hierarchical Archimedean copulas ⋮ Weak convergence of empirical and bootstrapped \(C\)-power processes and application to copula goodness-of-fit ⋮ On the extremal dependence coefficient of multivariate distributions ⋮ The Frank inequality ⋮ SOME RESULTS ON TRUNCATION DEPENDENCE INVARIANT CLASS OF COPULAS
This page was built for publication: Dependence and order in families of Archimedean copulas
