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
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