Invariant dependence structures and Archimedean copulas

DOI10.1016/j.spl.2011.08.018zbMath1225.62069OpenAlexW2066590972MaRDI QIDQ645464

Fabrizio Durante, Radko Mesiar, Piotr Jaworski

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 dependenceClayton model

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory of statistical distributions (62E10)

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On truncation invariant copulas and their estimation ⋮ Covar of families of copulas ⋮ On the Characterization of Copulas by Differential Equations ⋮ A Test for Truncation Invariant Dependence ⋮ On the measure induced by copulas that are invariant under univariate truncation ⋮ On copulas with a trapezoid support ⋮ Several algorithms for constructing copulas via \(\ast\)-product decompositions ⋮ On conditional value at risk (CoVaR) for tail-dependent copulas ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ Copulas with continuous, strictly increasing singular conditional distribution functions ⋮ Evolution of the Dependence of Residual Lifetimes ⋮ Asymmetric Copulas and Their Application in Design of Experiments ⋮ Truncation invariant copulas and a testing procedure ⋮ On the class of truncation invariant bivariate copulas under constraints ⋮ Invariant dependence structure under univariate truncation: the high-dimensional case ⋮ Univariate conditioning of vine copulas

Cites Work

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• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
• On uniform tail expansions of bivariate copulas
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• Optimal Transport

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