Construction of asymmetric multivariate copulas

被引：168

作者：

Liebscher, Eckhard ^{[1
]}

机构：

[1] Univ Appl Sci Merseburg, Dept Comp Sci & Commun Syst, D-06217 Merseburg, Germany

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2008年 / 99卷 / 10期

关键词：

Copula; Archimedean copula; Tail dependence;

D O I：

10.1016/j.jmva.2008.02.025

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：

In this paper we introduce two methods for the construction of asymmetric multivariate copulas. The first is connected with products of copulas. The second approach generalises the Archimedean copulas. The resulting copulas are asymmetric and may have more than two parameters in contrast to most of the parametric families of copulas described in the literature. We study the properties of the proposed families of copulas such as the dependence of two components (Kendall's tau, tail dependence), marginal distributions and the generation of random variates. (C) 2008 Elsevier Inc. All rights reserved.

引用

页码：2234 / 2250

页数：17

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