Bibliography

Journal Article

Invariant dependence structures and Archimedean copulas

Durante F., Jaworski P., Mesiar Radko

: Statistics & Probability Letters vol.81, 12 (2011), p. 1995-2003

: CEZ:AV0Z10750506

: GAP402/11/0378, GA ČR

: Archimedean copula, Tail dependence, Clayton model

: 10.1016/j.spl.2011.08.018

: http://library.utia.cas.cz/separaty/2011/E/mesiar-invariant dependence structures and archimedean copulas.pdf

(eng): We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.

: BA