On copulas with a trapezoid support

DOI10.1515/DEMO-2023-0101MaRDI QIDQ6076563zbMATH OpenOpenAlexFDO

Authors Piotr Jaworski

Publication date 17 October 2023

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2023-0101

zbMATH Keywords

absolute continuitycopulasKendall \(\tau\)Spearman \(\rho\)tail dependence function

Mathematics Subject Classification ID

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

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Cites work

• A New Characterization of Bivariate Copulas
• An introduction to copulas.
• Heavy-Tail Phenomena
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• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• Invariant dependence structure under univariate truncation
• Invariant dependence structures and Archimedean copulas
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On truncation invariant copulas and their estimation
• On uniform tail expansions of bivariate copulas
• On uniform tail expansions of multivariate copulas and wide convergence of measures
• Principles of copula theory
• Tail dependence functions and vine copulas
• Tails of multivariate Archimedean copulas
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
• Truncation invariant copulas and a testing procedure

Cited in

(4)

• Essential closures and supports of multivariate copulas
• The Bertino family of copulas
• Some new developments on variable-power copulas
• On a family of copulas partially coinciding with the Fréchet-Hoeffding boundaries

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