On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform

DOI10.1016/J.JMAA.2023.127555arXiv2210.11868OpenAlexW4383070158MaRDI QIDQ6074484FDOQ6074484

Authors: Thimo M. Kasper, Nicolas Dietrich, Wolfgang Trutschnig 

Publication date: 19 September 2023

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: Motivated by a recently established result saying that within the class of bivariate Archimedean copulas standard pointwise convergence implies weak convergence of almost all conditional distributions this contribution studies the class $mathcal{C}_{ar}^d$ of all $d$-dimensional Archimedean copulas with $dgeq3$ and proves the afore-mentioned implication with respect to conditioning on the first $d-1$ coordinates. Several proper-ties equivalent to pointwise convergence in $mathcal{C}_{ar}^d$ are established and - as by-product of working with conditional distributions (Markov kernels) - alternative simple proofs for the well-known formulas for the level set masses $m{u}_C(L_t)$ and the Kendall distribution function $F_K^d$ as well as a novel geometrical interpretation of the latter are provided. Viewing normalized generators $psi$ of $d$-dimensional Archimedean copulas from the perspective of their so-called Williamson measures $gamma$ on $(0,infty)$ is then shown to allow not only to derive surprisingly simple expressions for $m{u}_C(L_t)$ and $F_K^d$ in terms of $gamma$ and to characterize pointwise convergence in $mathcal{C}_{ar}^d$ by weak convergence of the Williamson measures but also to prove that regularity/singularity properties of $gamma$ directly carry over to the corresponding copula $C_{g}ammainmathcal{C}_{ar}^d$. These results are finally used to prove the fact that the family of all absolutely continuous and the family of all singular $d$-dimensional copulas is dense in $mathcal{C}_{ar}^d$ and to underline that despite of their simple algebraic structure Archimedean copulas may exhibit surprisingly singular behavior in the sense of irregularity of their conditional distribution functions.

Full work available at URL: https://arxiv.org/abs/2210.11868

zbMATH Keywords

singularityweak convergenceArchimedean copulaMarkov kernel

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Probability theory and stochastic processes (60-XX) Multivariate analysis (62Hxx)

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Cited In (1)

• On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence

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