Supermodular dependence ordering on a class of multivariate copulas

Gang Wei and Taizhong Hu

Statistics & Probability Letters, 2002, vol. 57, issue 4, 375-385

Abstract: In most situations, the dependence monotonicities of copulas are checked by problem-specific approaches. Sometimes, it is impossible to check the monotonicities from the analytic forms of copulas. The purpose of this paper is to lay out some general results that can be used to identify dependence parameter(s) with respect to the supermodular dependence ordering for a parametric family of copulas constructed through mixing and limits. Special attention is paid to multivariate extreme value copulas, and some examples of applications are provided.

Keywords: Multivariate; distribution; Extreme; value; copula; Extreme; value; limit; Supermodular; dependence; ordering; Concordance; ordering; Laplace; transform (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (21)

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