SOME RESULTS ON TRUNCATION DEPENDENCE INVARIANT CLASS OF COPULAS

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

Engin A. Sungur

Publication date: 4 February 2004

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

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

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)

Cites Work

• On nonparametric measures of dependence for random variables
• Title not available (Why is that?)
• Copula Models for Aggregating Expert Opinions
• Title not available (Why is that?)
• On some generalized farlie-gumbel-morgenstern distributions
• Truncation invariant dependence structures
• Constructing multivariate distributions with specific marginal distributions
• Dependence and order in families of Archimedean copulas
• Dependence Information in Parameterized Copulas

Cited In (12)

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

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