Invariant dependence structures and Archimedean copulas

Fabrizio Durante, Piotr Jaworski and Radko Mesiar

Statistics & Probability Letters, 2011, vol. 81, issue 12, 1995-2003

Abstract: We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.

Keywords: Archimedean copula; Clayton model; Copula; Tail dependence (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2011.08.018

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