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Pairwise and global dependence in trivariate copula models
Book chapter   Peer reviewed

Pairwise and global dependence in trivariate copula models

Fabrizio Durante, Roger B. Nelsen, José Juan Quesada-Molina and Manuel Úbeda-Flores
Information processing and management of uncertainty in knowledge-based systems: 15th International Conference, IPMU 2014, Montpellier, France, July 15-19, 2014, Proceedings, Part III, Vol.444, pp.243-251
Communications in Computer and Information Science, 444, Springer
2014
DOI: https://doi.org/10.1007/978-3-319-08852-5_25
Handle:
https://hdl.handle.net/10863/13923

Abstract

Quantitative methods and economic modeling Copulas Dependence models
We investigate whether pairwise dependence properties related to all the bivariate margins of a trivariate copula imply the corresponding trivariate dependence property. The main finding is that, in general, information about the pairwise dependence is not sufficient to infer some aspects of global dependence. In essence, dependence is a multi-facet property that cannot be easily reduced to simplest cases.
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