Copulas, stable tail dependence functions, and multivariate monotonicity

DOI10.1515/DEMO-2019-0013MaRDI QIDQ2178943zbMATH OpenOpenAlexFDO

Authors Paul Ressel

Publication date 12 May 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2019-0013

zbMATH Keywords

copulamultivariate monotonicitynested Archimedean copulastable tail dependence function

Mathematics Subject Classification ID

Monotonic functions, generalizations (26A48) Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

Recommendations

• Dependence and order in families of Archimedean copulas
• Tail dependence functions and vine copulas
• Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas
• General multivariate dependence using associated copulas
• Tail dependence for multivariate copulas and its monotonicity

Cites work

• \(H\)-extendible copulas
• A characterization of absolutely monotonic (Δ) functions
• A note on the Galambos copula and its associated Berstein function
• An introduction to copulas.
• Constructing hierarchical archimedean copulas with Lévy subordinators
• Functions operating on multivariate distribution and survival functions - With applications to classical mean-values and to copulas
• Higher order monotonic functions of several variables
• Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
• scientific article; zbMATH DE number 819396 (Why is no real title available?)
• Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas
• Multivariate Archimax copulas
• On the construction of nested Archimedean copulas for \(d\)-monotone generators
• Sampling nested Archimedean copulas
• The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
• Theory of capacities

Cited in

(13)

• Stochastic monotonicity and the Markov product for copulas
• Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
• On the compounding of higher order monotonic pseudo-Boolean functions
• Monotone tail functions: definitions, properties, and application to risk-reducing strategies
• Stable tail dependence functions -- some basic properties
• A multivariate version of Williamson's theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas
• Vector copulas
• Copulas related to piecewise monotone functions of the interval and associated processes
• CHARACTERIZATION OF ASYMPTOTICAL EXPANSIONS OF COPULAS BY THE USE OF HOMOGENEOUS FUNCTIONS
• scientific article; zbMATH DE number 7604433 (Why is no real title available?)
• Functions operating on several multivariate distribution functions
• Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas
• Vector Copula Variational Inference and Dependent Block Posterior Approximations

This page was built for publication: Copulas, stable tail dependence functions, and multivariate monotonicity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2178943)