On a generalization of Archimedean copula family

DOI10.1016/J.SPL.2017.02.001MaRDI QIDQ2407772zbMATH OpenOpenAlexFDO

Authors Feng Lin, Jie-hua Xie, Jingping Yang

Publication date 6 October 2017

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

Full work available at URL https://doi.org/10.1016/j.spl.2017.02.001

zbMATH Keywords

probabilistic structuregeneralization of Archimedean copulamultivariate tail dependence

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A Multivariate Exponential Distribution
• A continuous general multivariate distribution and its properties
• A generalization of the Archimedean class of bivariate copulas
• An introduction to copulas.
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• Estimating Survival and Association in a Semicompeting Risks Model
• Estimating survival under a dependent truncation
• Exchangeable exogenous shock models
• Explicit ruin formulas for models with dependence among risks
• Independence results for multivariate tail dependence coefficients
• Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On a family of multivariate copulas for aggregation processes
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• On the extremal dependence coefficient of multivariate distributions
• Orthant tail dependence of multivariate extreme value distributions
• Tails of multivariate Archimedean copulas
• Understanding Relationships Using Copulas

Cited in

(19)

• Generalisation of the Notion of an n-Increasing Function. Archimedean Copulas
• A note on upper-patched generators for Archimedean copulas
• Multivariate composite copulas
• A generalization of Archimedean and Marshall-Olkin copulas family
• A decision theorem of generalized FGM Copula and its application
• A new family of Archimedean copulas: the truncated-Poisson family of copulas
• Tail order and intermediate tail dependence of multivariate copulas
• The dominance relation in some families of continuous Archimedean t-norms and copulas
• An Archimedean copula family with hyperbolic cotangent generator
• A note on Archimax copulas and their representation by means of conic copulas
• A new class of copulas with tail dependence
• A family of transformed copulas with a singular component
• A directory of families of infinitely extendible Archimedean copulas
• On the construction of nested Archimedean copulas for \(d\)-monotone generators
• FGM generated Archimedean copulas with concave multiplicative generators
• When a copula is Archimax
• On Generators in Archimedean Copulas
• Non-exchangeable copulas and multivariate total positivity
• General multivariate dependence using associated copulas

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