Constructing Archimedean copulas from diagonal sections

DOI10.1016/J.SPL.2012.01.008zbMATH Open1242.62041OpenAlexW2091051589MaRDI QIDQ434727FDOQ434727

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

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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)

Cites Work

• An introduction to copulas. Properties and applications
• Title not available (Why is that?)
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• On a family of copulas constructed from the diagonal section
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Title not available (Why is that?)
• On the construction of copulas and quasi-copulas with given diagonal sections
• Convergence of Archimedean copulas
• Diagonal copulas of archimedean class
• Title not available (Why is that?)

Cited In (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
• Convergence of linear approximation of Archimedean generator from Williamson's transform in examples
• Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
• 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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