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Archimedean copulæ and positive dependence

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  • Müller, Alfred
  • Scarsini, Marco

Abstract

In this paper, we consider different issues related to Archimedean copulæ and positive dependence. In the first part, we characterize Archimedean copulæ that possess positive dependence properties such as multivariate total positivity of order 2 (MTP2) and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Archimedean copula, and we show that they depend on the extendibility of the sequence, and therefore on its positive-dependence properties.

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  • Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
  • Handle: RePEc:eee:jmvana:v:93:y:2005:i:2:p:434-445
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