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Archimedean Survival Processes


  • Edward Hoyle
  • Levent Ali Menguturk


Archimedean copulas are popular in the world of multivariate modelling as a result of their breadth, tractability, and flexibility. A. J. McNeil and J. Ne\v{s}lehov\'a (2009) showed that the class of Archimedean copulas coincides with the class of multivariate $\ell_1$-norm symmetric distributions. Building upon their results, we introduce a class of multivariate Markov processes that we call `Archimedean survival processes' (ASPs). An ASP is defined over a finite time interval, is equivalent in law to a multivariate gamma process, and its terminal value has an Archimedean survival copula. There exists a bijection from the class of ASPs to the class of Archimedean copulas. We provide various characterisations of ASPs, and a generalisation.

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  • Edward Hoyle & Levent Ali Menguturk, 2011. "Archimedean Survival Processes," Papers 1106.2342,, revised Sep 2012.
  • Handle: RePEc:arx:papers:1106.2342

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