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Total positivity for a class of non-exchangeable copulas

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  • Cerqueti, Roy
  • Lupi, Claudio

Abstract

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.

Suggested Citation

  • Cerqueti, Roy & Lupi, Claudio, 2015. "Total positivity for a class of non-exchangeable copulas," Economics & Statistics Discussion Papers esdp15077, University of Molise, Department of Economics.
    • Handle: RePEc:mol:ecsdps:esdp15077
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    File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP15077.pdf
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    References listed on IDEAS

    as
    1. Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2012. "A copula-based analysis of false discovery rate control under dependence assumptions," Economics & Statistics Discussion Papers esdp12065, University of Molise, Department of Economics.
    2. Fabrizio Durante & José Quesada-Molina & Carlo Sempi, 2007. "A Generalization of the Archimedean Class of Bivariate Copulas," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(3), pages 487-498, September.
    3. Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
    4. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
    5. 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.
    6. Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2011. "FDR Control in the Presence of an Unknown Correlation Structure," Economics & Statistics Discussion Papers esdp11059, University of Molise, Department of Economics.
    7. Cambanis, Stamatis & Huang, Steel & Simons, Gordon, 1981. "On the theory of elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 368-385, September.
    8. Cerqueti, Roy & Lupi, Claudio, 2014. "A new family of nonexchangeable copulas for positive dependence," Economics & Statistics Discussion Papers esdp14075, University of Molise, Department of Economics.
    9. Rafael Schmidt, 2002. "Tail dependence for elliptically contoured distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(2), pages 301-327, May.
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    More about this item

    Keywords

    Copulas; MTP2 dependence; Non-exchangeability;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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