Multivariate Archimedean copulas, d-monotone functions and _1-norm symmetric distributions

DOI10.1214/07-AOS556zbMATH Open1173.62044arXiv0908.3750OpenAlexW3100486754WikidataQ56030190 ScholiaQ56030190MaRDI QIDQ834372FDOQ834372

Authors: Alexander J. McNeil, Johanna Nešlehová 

Publication date: 19 August 2009

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

Abstract: It is shown that a necessary and sufficient condition for an Archimedean copula generator to generate a $d$-dimensional copula is that the generator is a $d$-monotone function. The class of $d$-dimensional Archimedean copulas is shown to coincide with the class of survival copulas of $d$-dimensional $el{l}_1$-norm symmetric distributions that place no point mass at the origin. The $d$-monotone Archimedean copula generators may be characterized using a little-known integral transform of Williamson [Duke Math. J. 23 (1956) 189--207] in an analogous manner to the well-known Bernstein--Widder characterization of completely monotone generators in terms of the Laplace transform. These insights allow the construction of new Archimedean copula families and provide a general solution to the problem of sampling multivariate Archimedean copulas. They also yield useful expressions for the $d$-dimensional Kendall function and Kendall's rank correlation coefficients and facilitate the derivation of results on the existence of densities and the description of singular components for Archimedean copulas. The existence of a sharp lower bound for Archimedean copulas with respect to the positive lower orthant dependence ordering is shown.

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

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zbMATH Keywords

Laplace transformfrailty modelstochastic simulationdependence ordering\(\ell_1\)-norm symmetric distributiond-monotone functionWilliamson d-transform

Mathematics Subject Classification ID

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

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