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.
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- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Christos Pitelis & Roger Sugden & James R. Wilson, 2006. "Introduction," Chapters, in: Clusters and Globalisation, chapter 1 Edward Elgar Publishing.
- 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.
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