A new family of nonexchangeable copulas for positive dependence
This note contributes to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, it deals with the construction of a new family of non-exchangeable copulas characterizing the multivariate total positivity of order 2 (MTP2) dependence.
|Date of creation:||23 Nov 2014|
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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.
- Alfred Müller & Marco Scarsini, 2003. "Archimedean Copulae and Positive Dependence," ICER Working Papers - Applied Mathematics Series 25-2003, ICER - International Centre for Economic Research.
- Marco Scarsini & Alfred Muller, 2005. "Archimedean copulae and positive dependence," Post-Print hal-00539618, HAL.
- Liebscher, Eckhard, 2011. "Erratum to "Construction of asymmetric multivariate copulas" [J. Multivariate Anal. 99 (2008) 2234-2250]," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 869-870, April. Full references (including those not matched with items on IDEAS)
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