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Invariant dependence structures and Archimedean copulas
- 1.0365505 - ÚTIA 2012 RIV NL eng J - Journal Article
Durante, F. - Jaworski, P. - Mesiar, Radko
Invariant dependence structures and Archimedean copulas.
Statistics & Probability Letters. Roč. 81, č. 12 (2011), s. 1995-2003. ISSN 0167-7152. E-ISSN 1879-2103
R&D Projects: GA ČR GAP402/11/0378
Institutional research plan: CEZ:AV0Z10750506
Keywords : Archimedean copula * Tail dependence * Clayton model
Subject RIV: BA - General Mathematics
Impact factor: 0.498, year: 2011
http://library.utia.cas.cz/separaty/2011/E/mesiar-invariant dependence structures and archimedean copulas.pdf
We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.
Permanent Link: http://hdl.handle.net/11104/0200734
Number of the records: 1