Constructing Archimedean copulas from diagonal sections

DOI10.1016/j.spl.2012.01.008zbMath1242.62041MaRDI QIDQ434727

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

zbMATH Keywords

concordance; diagonal section; additive generator; diagonal generator

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

Related Items

On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators, Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations, On the identifiability of copulas in bivariate competing risks models, Characterizations of Archimedean n-copulas

Cites Work

• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On the construction of copulas and quasi-copulas with given diagonal sections
• An introduction to copulas. Properties and applications
• Convergence of Archimedean copulas
• On a family of copulas constructed from the diagonal section
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Diagonal copulas of archimedean class
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item