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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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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