Invariant dependence structures and Archimedean copulas

DOI10.1016/j.spl.2011.08.018zbMath1225.62069MaRDI QIDQ645464

Piotr Jaworski, Radko Mesiar, Fabrizio Durante

Publication date: 15 November 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.08.018

zbMATH Keywords

tail dependence; Clayton model

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

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

60G70: Extreme value theory; extremal stochastic processes

62E10: Characterization and structure theory of statistical distributions

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A Test for Truncation Invariant Dependence, Covar of families of copulas, On conditional value at risk (CoVaR) for tail-dependent copulas, On truncation invariant copulas and their estimation, Conditioning of copulas: transformations, invariance and measures of concordance, Copulas with continuous, strictly increasing singular conditional distribution functions, Univariate conditioning of vine copulas, Evolution of the Dependence of Residual Lifetimes, Invariant dependence structure under univariate truncation: the high-dimensional case, On the Characterization of Copulas by Differential Equations

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