Archimedean copulæ and positive dependence

Alfred Müller and Marco Scarsini

Journal of Multivariate Analysis, 2005, vol. 93, issue 2, 434-445

Abstract: In this paper, we consider different issues related to Archimedean copulæ and positive dependence. In the first part, we characterize Archimedean copulæ that possess positive dependence properties such as multivariate total positivity of order 2 (MTP2) and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Archimedean copula, and we show that they depend on the extendibility of the sequence, and therefore on its positive-dependence properties.

Keywords: Conditionally; increasing; MTP2; Positive; lower; orthant; dependent; Exchangeability; Binary; sequences (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (24)

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Working Paper: Archimedean copulae and positive dependence (2005)
Working Paper: Archimedean Copulae and Positive Dependence (2003)
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