• Title of article

    Archimedean copulae and positive dependence

  • Author/Authors

    Müller، نويسنده , , Alfred and Scarsini، نويسنده , , Marco، نويسنده ,

  • Issue Information
    دوفصلنامه با شماره پیاپی سال 2005
  • Pages
    12
  • From page
    434
  • To page
    445
  • Abstract
    In this paper, we consider different issues related to Archimedean copulae and positive dependence. In the first part, we characterize Archimedean copulae that possess positive dependence properties such as multivariate total positivity of order 2 (MTP2) and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Archimedean copula, and we show that they depend on the extendibility of the sequence, and therefore on its positive-dependence properties.
  • Keywords
    Binary sequences , Conditionally increasing , MTP2 , Exchangeability , Positive lower orthant dependent
  • Journal title
    Journal of Multivariate Analysis
  • Serial Year
    2005
  • Journal title
    Journal of Multivariate Analysis
  • Record number

    1558152