Invariant dependence structure under univariate truncation

被引：25

作者：

Durante, Fabrizio ^{[2
,3
]}

Jaworski, Piotr ^{[1
]}

机构：

[1] Univ Warsaw, Inst Math, PL-02097 Warsaw, Poland

[2] Free Univ Bozen Bolzano, Sch Econ & Management, I-39100 Bolzano, Italy

[3] Johannes Kepler Univ Linz, Dept Knowledge Based Math Syst, A-4040 Linz, Austria

来源：

STATISTICS | 2012年 / 46卷 / 02期

关键词：

Clayton model; copula; threshold copula; univariate conditioning; tail dependence; ARCHIMEDEAN COPULAS; BIVARIATE;

D O I：

10.1080/02331888.2010.512977

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The class of all bivariate copulas that are invariant under univariate truncation is characterized. To this end, a family of bivariate copulas generated by a real-valued function is introduced. The obtained results are also used in order to show that the Clayton family of copulas (including its limiting elements) coincides with the class of copulas that are invariant under bivariate truncation and contains all exchangeable copulas which are invariant under univariate truncation.

引用

页码：263 / 277

页数：15

共 38 条

[1]

Ahmadi-Javid A., 2009, COMMUN STAT-THEOR M, V38, P3771

[2]

Ahmadi-Javid A., 2009, COMMUN STAT-THEOR M, V38, P3755

[3]

[Anonymous], 2007, WATER SCI TECHNOLOGY

[4]

[Anonymous], 1966, MATH SCI ENG

[5]

[Anonymous], 1997, Multivariate models and multivariate dependence concepts

[6]

BALKEMA AA, 1998, J MATH SCI, V92, P3873

[7]

Balkema G., 2007, ADV MATH EUROPEAN MA

[8] Bivariate survival models with Clayton aging functions [J].

Bassan, B ;

Spizzichino, F .

INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (01) :6-12

[9]

Bourbaki N., 1966, Elements of Mathematics: General Topology

[10] Limiting dependence structures for tail events, with applications to credit derivatives [J].

Charpentier, Arthur ;

Juri, Alessandro .

JOURNAL OF APPLIED PROBABILITY, 2006, 43 (02) :563-586

← 1 2 3 4 →