Bounds for the Clayton copula
We provide two upper bounds on the Clayton copula Cθ(u1,...,un) if θ > 0 and n ≥ 2 and a lower bound in the case θ ∈ [-1,0) and n ≥ 2. The obtained bounds provide a nice probabilistic interpretation related to some negative dependence structures and also allow defining three new two-dimensional...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2017-03-01
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| Series: | Nonlinear Analysis |
| Subjects: | |
| Online Access: | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/13403 |