Constructing Archimedean copulas from diagonal sections

DOI10.1016/J.SPL.2012.01.008MaRDI QIDQ434727zbMATH OpenOpenAlexFDO

Authors Włodzimierz Wysocki

Publication date 16 July 2012

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

Full work available at URL https://doi.org/10.1016/j.spl.2012.01.008

zbMATH Keywords

concordancediagonal sectionadditive generatordiagonal generator

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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(12)

• Generators of copulas and aggregation
• Properties of the induced semigroup of an Archimedean copula
• Frank's condition for multivariate Archimedean copulas
• On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
• Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
• Convergence of linear approximation of Archimedean generator from Williamson's transform in examples
• Maximal directions of monotonicity of an aggregation function
• On a family of copulas constructed from the diagonal section
• Characterizations of Archimedean \(n\)-copulas.
• On the identifiability of copulas in bivariate competing risks models
• Archimedean copulas derived from utility functions
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données

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