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Multivariate dependence modeling using copulas

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Author Info
Marta Cardin () (Department of Applied Mathematics, University of Venice)
Maddalena Manzi () (Department of Mathematics, University of Padua)

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Abstract

There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring the dependence among the components of each class and providing several examples.

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File URL: http://www.dma.unive.it/wpdma/2008wp183.pdf
File Format: application/pdf
File Function: First version, 2008
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Publisher Info
Paper provided by Department of Applied Mathematics, University of Venice in its series Working Papers with number 183.

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Length: 15 pages
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:vnm:wpaper:183

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Related research
Keywords: copula; density function; FGM copulas; dependence; symmetry;

Find related papers by JEL classification:
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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  1. M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(4), pages 789-806, December. [Downloadable!] (restricted)
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This page was last updated on 2009-11-25.

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