Functions operating on multivariate distribution and survival functions - With applications to classical mean-values and to copulas
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Publication:764474
DOI10.1016/j.jmva.2011.08.007zbMath1235.62057OpenAlexW2056652330MaRDI QIDQ764474
Publication date: 13 March 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2011.08.007
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Monotonic functions, generalizations (26A48)
Related Items (7)
Stable tail dependence functions -- some basic properties ⋮ Copulas, stable tail dependence functions, and multivariate monotonicity ⋮ Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions ⋮ Functions operating on several multivariate distribution functions ⋮ A multivariate version of Williamson's theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas ⋮ Higher order monotonic functions of several variables ⋮ Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
Cites Work
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- A revision of Kimberling's results -- with an application to max-infinite divisibility of some Archimedean copulas
- Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas
- Multiply monotone functions and their Laplace transforms
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- A probabilistic interpretation of complete monotonicity
- Functions with positive differences
- A characterization of absolutely monotonic (Δ) functions
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