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Unter verallgemeinerter Mittelwertbildung abgeschlossene Familien von Copulas

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  • Klein, Ingo
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    Abstract

    -- We will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH) and the Barnett-Gumbel (BG) families of copulas closed under weighted linear, harmonic and geometric mean. For these generalizations we calculate the range of Spearman's ρ depending on the choice of weights α, the copulas generating function φ and the exponent γ determining what kind of mean value will be considered. It seems that FGM and AMH generating function φ(υ) = 1 - υ maximizes the range of Spearman's ρ. Furthermore, it will be shown that the considered families of copulas closed under the construction of generalized linear means have no tail dependence in the sense of Ledford & Tawn.

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    Bibliographic Info

    Paper provided by Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics in its series Discussion Papers with number 86/2010.

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    Date of creation: 2010
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    Handle: RePEc:zbw:faucse:862010

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    Web page: http://www.statistik.wiso.uni-erlangen.de/
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    Keywords: copula; generalized linear means; Spearman's ρ; tail dependence;

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