On an interaction function for copulas

DOI10.1016/j.jmva.2014.12.012zbMath1320.60070OpenAlexW2065763339MaRDI QIDQ2350043

Dorota Kurowicka, Wim T. van Horssen

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.12.012

zbMATH Keywords

tail dependencecopulaetail orderlocal dependence functioncomplete monotonic functions\(d\)-monotonic functionsArchimedean copulae

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Distribution theory (60E99)

Cites Work

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