Archimedean copulae and positive dependence

Marco Scarsini and Alfred Müller

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Abstract: In this paper, we consider different issues related to Archimedean copulae and positive dependence. In the first part, we characterize Archimedean copulae 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: Inequalities; Stochastic orderings; Conditionally increasing; MTP2; positive lower orthant dependent; exchangeability; binary sequences.; binary sequences (search for similar items in EconPapers)
Date: 2005-04
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Citations: View citations in EconPapers (39)

Published in Journal of Multivariate Analysis, 2005, Vol. 93, N°2, pp. 434 - 445. ⟨10.1016/j.jmva.2004.04.003⟩

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Journal Article: Archimedean copulæ and positive dependence (2005)
Working Paper: Archimedean Copulae and Positive Dependence (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00539618

DOI: 10.1016/j.jmva.2004.04.003

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