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

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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 (2)

• Construction of Archimedean copulas using total time on test transforms
• Two symmetric and computationally efficient Gini correlations

Uses Software

• QRM

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