SOME RESULTS ON TRUNCATION DEPENDENCE INVARIANT CLASS OF COPULAS

DOI10.1081/STA-120006076zbMATH Open1075.62561MaRDI QIDQ4449070FDOQ4449070

Authors Engin A. Sungur

Publication date 4 February 2004

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

Kendall's tauCopulasCompatibilityArchimedean classTruncated distributions3-Dimensional distributions

Mathematics Subject Classification ID

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

Recommendations

• Copulas with truncation-invariance property
• Invariant dependence structures and Archimedean copulas
• Invariant dependence structure under univariate truncation
• Truncation invariant dependence structures
• Right-truncated Archimedean and related copulas

Cites work

• scientific article; zbMATH DE number 3870293 (Why is no real title available?)
• scientific article; zbMATH DE number 3738723 (Why is no real title available?)
• Constructing multivariate distributions with specific marginal distributions
• Copula Models for Aggregating Expert Opinions
• Dependence Information in Parameterized Copulas
• Dependence and order in families of Archimedean copulas
• On nonparametric measures of dependence for random variables
• On some generalized farlie-gumbel-morgenstern distributions
• Truncation invariant dependence structures

Cited in

(17)

• Bivariate aging properties under Archimedean dependence structures
• Truncation invariant dependence structures
• On truncation invariant copulas and their estimation
• Dependence structure of conditional Archimedean copulas
• Conditioning of copulas: transformations, invariance and measures of concordance
• On the class of truncation invariant bivariate copulas under constraints
• Right-truncated Archimedean and related copulas
• Invariant dependence structures and Archimedean copulas
• A new family of Archimedean copulas: the truncated-Poisson family of copulas
• On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
• Bivariate survival models with Clayton aging functions
• Archimedean copulas derived from utility functions
• Extending the inference function for augmented margins method to implement trivariate Clayton copula-based SUR Tobit models
• Invariant dependence structure under univariate truncation
• Copulas with truncation-invariance property
• A multivariate IFR notion based on the multivariate dispersive ordering
• On the preservation of copula structure under truncation

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