General Multivariate Dependence using Associated Copulas

This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence. We extend definitions and results from positive to general dep...

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Bibliographic Details
Published in:Revstat Statistical Journal
Main Author: Yuri Salazar Flores
Format: Article
Language:English
Published: Instituto Nacional de Estatística | Statistics Portugal 2016-02-01
Subjects:
non-positive dependence
tail dependence
copula theory
perfect dependence models
elliptical copulas
Archimedean copulas
Online Access:https://revstat.ine.pt/index.php/REVSTAT/article/view/2

Internet

https://revstat.ine.pt/index.php/REVSTAT/article/view/2

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