Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions

DOI10.1214/07-AOS556zbMath1173.62044arXiv0908.3750OpenAlexW3100486754WikidataQ56030190 ScholiaQ56030190MaRDI QIDQ834372

Alexander J. McNeil, Johanna G. Nešlehová

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.3750

zbMATH Keywords

Laplace transform frailty model stochastic simulation dependence ordering \(\ell_1\)-norm symmetric distribution d-monotone function Williamson d-transform

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

Related Items (only showing first 100 items - show all)

Profile likelihood approaches for semiparametric copula and frailty models for clustered survival data ⋮ ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS ⋮ A method for constructing higher-dimensional copulas ⋮ Unnamed Item ⋮ An Archimedean Copula Family with Hyperbolic Cotangent Generator ⋮ STOCHASTIC ORDERING OF LIFETIMES OF PARALLEL AND SERIES SYSTEMS COMPRISING HETEROGENEOUS DEPENDENT COMPONENTS WITH GENERALIZED BIRNBAUM-SAUNDERS DISTRIBUTIONS ⋮ Ordering results for smallest claim amounts from two portfolios of risks with dependent heterogeneous exponentiated location-scale claims ⋮ HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE ⋮ Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties ⋮ A stochastic representation and sampling algorithm for nested Archimedean copulas ⋮ Mutual information as a measure of multivariate association: analytical properties and statistical estimation ⋮ FGM generated archimedean copulas with concave multiplicative generators ⋮ Modeling Multivariate Count Data Using Copulas ⋮ Estimating Archimedean Copulas in High Dimensions ⋮ MULTIVARIATE COMPOSITE COPULAS ⋮ ON VARIABILITY OF SERIES AND PARALLEL SYSTEMS WITH HETEROGENEOUS COMPONENTS ⋮ An exchangeable Kendall's tau for clustered data ⋮ MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS ⋮ Some ordering properties of series and parallel systems with dependent component lifetimes ⋮ Sampling from Archimedean n-copulas ⋮ Orderings of extremes dependent modified proportional hazard and modified proportional reversed hazard variables under Archimedean copula ⋮ A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Ordering fail-safe systems having dependent components with Archimedean copula and exponentiated location-scale distributions ⋮ Lifetime dependence models generated by multiply monotone functions ⋮ Characterizations of Archimedean n-copulas ⋮ Ordering of multivariate risk models with respect to extreme portfolio losses ⋮ On the Construction of Radially Symmetric Trivariate Copulas ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Asymptotic properties of extremal Markov processes driven by Kendall convolution ⋮ On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform ⋮ On copulas with a trapezoid support ⋮ How exceptional is the extremal Kendall and Kendall-type convolution ⋮ Poisson approximation of subgraph counts in stochastic block models and a graphon model ⋮ A generalization of Archimedean and Marshall-Olkin copulas family ⋮ Ordering properties of the second smallest and the second largest order statistics from a general semiparametric family of distributions ⋮ On \(k\)-out-of-\(n\) systems with homogeneous components and one independent cold standby redundancy ⋮ Copulas and Histogram-Valued Data ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Stochastic comparisons of series and parallel systems with dependent log-logistic components ⋮ Vector random fields on the probability simplex with metric-dependent covariance matrix functions ⋮ Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios ⋮ Strong convergence of multivariate maxima ⋮ Unnamed Item ⋮ Ordering and aging properties of systems with dependent components governed by the Archimedean copula ⋮ Ordering properties of the smallest order statistic from Weibull-G random variables ⋮ Copula sensitivity analysis for portfolio credit derivatives ⋮ Exceedance counts and GOD's order statistics ⋮ Estimation of extreme quantiles conditioning on multivariate critical layers ⋮ Copula-based conditional tail indices ⋮ On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence ⋮ A single risk approach to the semiparametric competing risks model with parametric Archimedean risk dependence ⋮ Stochastic comparisons of parallel and series systems with heterogeneous resilience-scaled components ⋮ Aging and ordering properties of multivariate lifetimes with Archimedean dependence structures ⋮ Do stock returns have an Archimedean copula? ⋮ Rare-Event Simulation for Distribution Networks ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Extremal behavior of Archimedean copulas ⋮ Unnamed Item ⋮ ASYMPTOTIC BEHAVIOR OF EXTREMAL EVENTS FOR AGGREGATE DEPENDENT RANDOM VARIABLES ⋮ CDO pricing with nested Archimedean copulas ⋮ AGING FUNCTIONS AND MULTIVARIATE NOTIONS OF NBU AND IFR ⋮ A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function ⋮ Hierarchical Kendall copulas: Properties and inference ⋮ Properties of hierarchical Archimedean copulas ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Modeling cause-of-death mortality using hierarchical Archimedean copula ⋮ Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis and applications” ⋮ On a construction of multivariate distributions given some multidimensional marginals ⋮ Uncertainty quantification in complex simulation models using ensemble copula coupling ⋮ Reparameterizing Marshall–Olkin copulas with applications to sampling ⋮ On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment ⋮ Asymmetric Copulas and Their Application in Design of Experiments ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Bounds for the Clayton copula ⋮ Unnamed Item ⋮ Bayesian model selection for D-vine pair-copula constructions ⋮ On properties of progressively Type-II censored conditionally N-ordered statistics arising from a non-identical and dependent random vector ⋮ Integral generators of Archimedean n-copulas ⋮ Cyber Epidemic Models with Dependences ⋮ Estimation of risk contributions with MCMC ⋮ A Compendium of Copulas ⋮ Conditional tail independence in Archimedean copula models ⋮ NEW ORDERING PROPERTIES OF ORDER STATISTICS FROM DEPENDENT RANDOM VARIABLES ⋮ Ordering extremes of scale random variables under Archimedean copula ⋮ On additivity of tail comonotonic risks ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ Eventual convexity of chance constrained feasible sets ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ Copulae: Some mathematical aspects ⋮ A law of uniform seniority for dependent lives ⋮ On beta-product convolutions ⋮ On comparison of two parallel systems having Log–Lindley distributed components ⋮ Ordering properties of the smallest and largest lifetimes in Gompertz–Makeham model ⋮ Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution ⋮ Estimation of high-order moment-independent importance measures for Shapley value analysis

Cites Work

This page was built for publication: Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions