Invariant dependence structures and Archimedean copulas

DOI10.1016/j.spl.2011.08.018zbMath1225.62069MaRDI QIDQ645464

Fabrizio Durante, Radko Mesiar, Piotr Jaworski

Publication date: 15 November 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.08.018

zbMATH Keywords

tail dependence; Clayton model

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G70: Extreme value theory; extremal stochastic processes

62E10: Characterization and structure theory of statistical distributions

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