Multivariate dependence modeling using copulas
There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring the dependence among the components of each class and providing several examples.
|Date of creation:||Nov 2008|
|Contact details of provider:|| Postal: Dorsoduro, 3825/E, 30123 Venezia|
Phone: ++39 041 2346910-6911
Fax: ++ 39 041 5221756
Web page: http://www.dma.unive.it/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 789-806, December.
- Christos Pitelis & Roger Sugden & James R. Wilson, 2006. "Introduction," Chapters,in: Clusters and Globalisation, chapter 1 Edward Elgar Publishing.
When requesting a correction, please mention this item's handle: RePEc:vnm:wpaper:183. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco LiCalzi)
If references are entirely missing, you can add them using this form.