On partially Schur-constant models and their associated copulas

Lefèvre Claude ()
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Lefèvre Claude: Université Libre de Bruxelles, Département de Mathématique, Campus de la Plaine C.P. 210, B-1050 Bruxelles, Belgium

Dependence Modeling, 2021, vol. 9, issue 1, 225-242

Abstract: Schur-constant vectors are used to model duration phenomena in various areas of economics and statistics. They form a particular class of exchangeable vectors and, as such, rely on a strong property of symmetry. To broaden the field of applications, partially Schur-constant vectors are introduced which correspond to partially exchangeable vectors. First, their copulas of survival, said to be partially Archimedean, are explicitly obtained and analyzed. Next, much attention is devoted to the construction of different partially Schur-constant models with two groups of exchangeable variables. Finally, partial Schur-constancy is briefly extended to the modeling of nested and multi-level dependencies.

Keywords: Schur-constant model; Archimedean copula; partial exchangeability; multivariate monotonicity; bivariate survival functions (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:9:y:2021:i:1:p:225-242:n:6

DOI: 10.1515/demo-2021-0111

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