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Invariant dependence structure under univariate truncation
Journal article   Peer reviewed

Invariant dependence structure under univariate truncation

Fabrizio Durante and Piotr Jaworski
Statistics, Vol.46(2), pp.263-277
46
2012
Handle:
https://hdl.handle.net/10863/313

Abstract

The class of all bivariate copulas that are invariant under univariate truncation is characterized. To this end, a family of bivariate copulas generated by a real-valued function is introduced. The obtained results are also used in order to show that the Clayton family of copulas (including its limiting elements) coincides with the class of copulas that are invariant under bivariate truncation and contains all exchangeable copulas which are invariant under univariate truncation.

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