Archimedean Copulae and Positive Dependence
Müller, Alfred and Scarsini, Marco (2003) Archimedean Copulae and Positive Dependence. [Working Paper]. p. 16. ICER Working Papers - Applied Mathematics Series (No. 25-2003).
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Abstract/Index
In the first part of the paper we consider positive dependence properties of Archimedean copulae. Especially we characterize the Archimedean copulae that are multivariate totally positive of order 2 (MTP2) and conditionally increasing in sequence. In the second part we investigate conditions for binary sequences to admit an Archimedean copula.
| Item Type: | Report / Paper (Working Paper) |
|---|---|
| Research documents and activity classification: | Working Papers > Refereed Working Papers / of international relevance |
| Divisions: | Department of Business and Management |
| Additional Information: | The definitive version of the paper has been published in "Journal of Multivariate Analysis", Vol. 93(2), Pages 434-445, April 2005. |
| Uncontrolled Keywords: | Conditionally increasing; MTP2; positive lower orthant dependent; exchangeability; binary sequences. |
| MIUR Scientific Area: | Area 13 - Economics and Statistics > SECS-S/01 Statistics |
| Deposited By: | Maria Teresa Nistico |
| Deposited On: | 21 Dec 2010 11:57 |
| Last Modified: | 21 Dec 2010 12:59 |
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