A multivariate version of Williamson's theorem, l(1)-symmetric survival functions, and generalized Archimedean copulas

被引：5

作者：

Ressel, Paul ^{[1
]}

机构：

[1] Kath Univ Eichstatt Ingolstadt, Eichstatt, Germany

来源：

DEPENDENCE MODELING | 2018年 / 6卷 / 01期

关键词：

Williamson's theorem; multivariate survival function; Archimedean copula; higher order mono tonicity; monotone composition theorem;

D O I：

10.1515/demo-2018-0020

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：

Williamson's integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply l(1)-symmetry. We then introduce a new class of generalized Archimedean copulas, where in contrast to nested Archimedean copulas no extra compatibility conditions for their generators are required.

引用

页码：356 / 368

页数：13

共 8 条

[1] Hierarchical Archimedean copulas through multivariate compound distributions [J].