Lorenz-generated bivariate Archimedean copulas

DOI10.1515/DEMO-2020-0011zbMATH Open1457.62156OpenAlexW3123558495MaRDI QIDQ828045FDOQ828045

Authors Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee

Publication date 14 January 2021

Published in Dependence Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/demo-2020-0011

zbMATH Keywords

Gini indexstochastic orderingtail dependenceArchimedean copulasLorenz curves

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inequalities; stochastic orderings (60E15) Order statistics; empirical distribution functions (62G30)

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Cited in

(3)

• Visualizing bivariate long-tailed data
• Construction of Archimedean copulas using total time on test transforms
• Two symmetric and computationally efficient Gini correlations

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Uses Software

• QRM

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