SOME RESULTS ON TRUNCATION DEPENDENCE INVARIANT CLASS OF COPULAS

DOI10.1081/STA-120006076zbMath1075.62561MaRDI QIDQ4449070

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

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

Related Items (10)

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

Cites Work

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• On nonparametric measures of dependence for random variables
• Dependence and order in families of Archimedean copulas
• Constructing multivariate distributions with specific marginal distributions
• Dependence Information in Parameterized Copulas
• On some generalized farlie-gumbel-morgenstern distributions
• Truncation invariant dependence structures
• Copula Models for Aggregating Expert Opinions

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