On a generalization of Archimedean copula family

DOI10.1016/J.SPL.2017.02.001zbMATH Open1381.62077OpenAlexW2586767871MaRDI QIDQ2407772FDOQ2407772

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

Recommendations

• Dependence and order in families of Archimedean copulas
• Tail order and intermediate tail dependence of multivariate copulas
• A directory of families of infinitely extendible Archimedean copulas
• A new class of copulas with tail dependence
• A generalization of the Archimedean class of bivariate copulas

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)

Cites Work

• Title not available (Why is that?)
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Construction of asymmetric multivariate copulas
• Tails of multivariate Archimedean copulas
• Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
• Understanding Relationships Using Copulas
• Estimating survival under a dependent truncation
• Associative functions. Triangular norms and copulas
• A Multivariate Exponential Distribution
• On a family of multivariate copulas for aggregation processes
• Exchangeable exogenous shock models
• Estimating Survival and Association in a Semicompeting Risks Model
• Explicit ruin formulas for models with dependence among risks
• A continuous general multivariate distribution and its properties
• Orthant tail dependence of multivariate extreme value distributions
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• A generalization of the Archimedean class of bivariate copulas
• On the extremal dependence coefficient of multivariate distributions
• Independence results for multivariate tail dependence coefficients

Cited In (19)

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

This page was built for publication: On a generalization of Archimedean copula family

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2407772)