Multivariate tail dependence and local stochastic dominance

DOI10.1016/j.jmva.2023.105267arXiv2210.06842OpenAlexW4388968852MaRDI QIDQ6200941

Christopher Strothmann, Karl Friedrich Siburg

Publication date: 25 March 2024

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

Full work available at URL: https://arxiv.org/abs/2210.06842

zbMATH Keywords

stochastic orderingtail dependenceArchimedean copulasdependence modelling

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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