Počet záznamů: 1

Invariant dependence structures and Archimedean copulas

  1. 1.
    0365505 - UTIA-B 2012 RIV NL eng J - Článek v odborném periodiku
    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
    Grant CEP: GA ČR GAP402/11/0378
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: Archimedean copula * Tail dependence * Clayton model
    Kód oboru RIV: BA - Obecná matematika
    Impakt faktor: 0.498, rok: 2011
    http://library.utia.cas.cz/separaty/2011/E/mesiar-invariant dependence structures and archimedean copulas.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0200734