Archimedean copulæ and positive dependence
In this paper, we consider different issues related to Archimedean copulæ and positive dependence. In the first part, we characterize Archimedean copulæ 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.
Year of publication: |
2005
|
---|---|
Authors: | Müller, Alfred ; Scarsini, Marco |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 93.2005, 2, p. 434-445
|
Publisher: |
Elsevier |
Keywords: | Conditionally increasing MTP2 Positive lower orthant dependent Exchangeability Binary sequences |
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