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
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
Journal title :
Journal of Multivariate Analysis