Non-exchangeable copulas and multivariate total positivity

DOI10.1016/J.INS.2016.04.026MaRDI QIDQ2279694zbMATH OpenOpenAlexFDO

Authors Roy Cerqueti, Claudio Lupi

Publication date 13 December 2019

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://openresearch.lsbu.ac.uk/download/2f8d7988683c9e4becad3e5f694d893465edc6068dc6b10da309f82313e8d2c5/231988/INS_revision_20032016.pdf

zbMATH Keywords

copulasdependenceMTP2multivariate total positivity of order 2non-exchangeability

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

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Cites work

• A generalization of the Archimedean class of bivariate copulas
• An introduction to copulas.
• Archimedean copulae and positive dependence
• Associative functions. Triangular norms and copulas
• Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions
• Construction of asymmetric multivariate copulas
• Erratum to ``Construction of asymmetric multivariate copulas
• Exchangeable copulas
• False discovery rate control for non-positively regression dependent test statistics
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3215084 (Why is no real title available?)
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Total positivity properties of absolute value multinormal variables with applications to confidence interval estimates and related probabilistic inequalities

Cited in

(7)

• On total positivity of exchangeable random variables obtained by symmetrization, with applications to failure-dependent lifetimes
• Archimedean copulae and positive dependence
• Copulas, uncertainty, and false discovery rate control
• Compound vectors of subordinators and their associated positive Lévy copulas
• A network approach to risk theory and portfolio selection
• A multi-parameter generalized Farlie-Gumbel-Morgenstern bivariate copula family via Bernstein polynomial
• A variance-based importance index for systems with dependent components

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