Total positivity for a class of non-exchangeable copulas

Roy Cerqueti and Claudio Lupi

Economics & Statistics Discussion Papers from University of Molise, Department of Economics

Abstract: This note contributes to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, it deals with the construction of a new family of non-exchangeable copulas characterizing the multivariate total positivity of order 2 (MTP2) dependence.

Keywords: Copulas; MTP2 dependence; Non-exchangeability (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 11
Date: 2015-04-20
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Persistent link: https://EconPapers.repec.org/RePEc:mol:ecsdps:esdp15077

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