Constructing Archimedean copulas from diagonal sections

DOI10.1016/J.SPL.2012.01.008zbMath1242.62041OpenAlexW2091051589MaRDI QIDQ434727

Włodzimierz Wysocki

Publication date: 16 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.01.008

zbMATH Keywords

concordancediagonal sectionadditive generatordiagonal generator

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (5)

Characterizations of Archimedean n-copulas ⋮ Maximal directions of monotonicity of an aggregation function ⋮ Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ On the identifiability of copulas in bivariate competing risks models

Cites Work

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• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On the construction of copulas and quasi-copulas with given diagonal sections
• An introduction to copulas. Properties and applications
• Convergence of Archimedean copulas
• On a family of copulas constructed from the diagonal section
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Diagonal copulas of archimedean class

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