Invariant dependence structures and Archimedean copulas

Number of the records: 1

1.

SYSNO ASEP	0365505
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Invariant dependence structures and Archimedean copulas
Author(s)	Durante, F. (IT) Jaworski, P. (PL) Mesiar, Radko (UTIA-B)_{RID, ORCID}
Source Title	Statistics & Probability Letters. - : Elsevier - ISSN 0167-7152 Roč. 81, č. 12 (2011), s. 1995-2003
Number of pages	9 s.
Language	eng - English
Country	NL - Netherlands
Keywords	Archimedean copula ; Tail dependence ; Clayton model
Subject RIV	BA - General Mathematics
R&D Projects	GAP402/11/0378 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000297088200035
DOI	10.1016/j.spl.2011.08.018
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2012

Number of the records: 1