When a copula is archimax

Włodzimierz Wysocki

Statistics & Probability Letters, 2013, vol. 83, issue 1, 37-45

Abstract: We discuss necessary and sufficient conditions for a copula to be archimax. We give a differential equation (depending on a function parameter) whose solution gives an additive generator of an Archimedean copula. We present two important applications of this differential equation. The first concerns the surprising fact that every Archimedean copula induces an uncountable family of such copulas. The other application is to a construction of Archimedean copulas from functions having the properties of opposite diagonal sections of Archimedean copulas.

Keywords: Archimax copula; Face of a copula; Dependence function; Generator of dependence functions; Additive generator (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715212003409
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:1:p:37-45

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2012.09.003

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().