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Invariant dependence structures and Archimedean copulas
Journal article   Peer reviewed

Invariant dependence structures and Archimedean copulas

Fabrizio Durante, Piotr Jaworski and Radko Mesiar
Statistics and Probability Letters, Vol.81, pp.1995-2003
81
2011
Handle:
https://hdl.handle.net/10863/39087

Abstract

We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguished properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.
url
doi.org/10.1016/j.spl.2011.08.018View

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