Functions operating on multivariate distribution and survival functions - With applications to classical mean-values and to copulas

DOI10.1016/J.JMVA.2011.08.007MaRDI QIDQ764474zbMATH OpenOpenAlexFDO

Authors Paul Ressel

Publication date 13 March 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2011.08.007

zbMATH Keywords

fully n-increasingn-absolutely monotonen-monotone

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monotonic functions, generalizations (26A48)

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• Distribution functions of multivariate copulas.
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Cites work

• scientific article; zbMATH DE number 3080734 (Why is no real title available?)
• A characterization of absolutely monotonic (Δ) functions
• A probabilistic interpretation of complete monotonicity
• A revision of Kimberling's results -- with an application to max-infinite divisibility of some Archimedean copulas
• Functions with positive differences
• Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas
• Multiply monotone functions and their Laplace transforms
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions

Cited in

(9)

• Functions operating on several multivariate distribution functions
• Higher order monotonic functions of several variables
• A revision of Kimberling's results -- with an application to max-infinite divisibility of some Archimedean copulas
• Copulas, stable tail dependence functions, and multivariate monotonicity
• Stable tail dependence functions -- some basic properties
• Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
• A multivariate version of Williamson's theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas
• Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
• Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas

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