Sklar's theorem, copula products, and ordering results in factor models

DOI10.1515/demo-2021-0113zbMath1479.60040OpenAlexW3209760037MaRDI QIDQ2063749

Jonathan Ansari, Ludger Rüschendorf

Publication date: 3 January 2022

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2021-0113

zbMATH Keywords

conditional independencefactor modelconcordance orderconditional distribution functioncomponentwise convex copulasproduct of copulas

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Integration and disintegration of measures (28A50)

Related Items (5)

On a multivariate copula-based dependence measure and its estimation ⋮ Ordinal sums: from triangular norms to bi- and multivariate copulas ⋮ Supermodular and directionally convex comparison results for general factor models ⋮ Copula modeling from Abe Sklar to the present day ⋮ Rearranged dependence measures

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