| Title:
|
Characterizations of Archimedean $n$-copulas (English) |
| Author:
|
Wysocki, Włodzimierz |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
51 |
| Issue:
|
2 |
| Year:
|
2015 |
| Pages:
|
212-230 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
We present three characterizations of $n$-dimensional Archimedean copulas: algebraic, differential and diagonal. The first is due to Jouini and Clemen. We formulate it in a more general form, in terms of an $n$-variable operation derived from a binary operation. The second characterization is in terms of first order partial derivatives of the copula. The last characterization uses diagonal generators, which are ``regular'' diagonal sections of copulas, enabling one to recover the copulas by means of an asymptotic representation. (English) |
| Keyword:
|
Archimedean operation |
| Keyword:
|
additive generator |
| Keyword:
|
diagonal generator |
| Keyword:
|
multiplicative generator |
| Keyword:
|
(Archimedean) $n$-copula |
| Keyword:
|
(Archimedean) $n$-quasicopula |
| MSC:
|
62H20 |
| idZBL:
|
Zbl 06487074 |
| idMR:
|
MR3350557 |
| DOI:
|
10.14736/kyb-2015-2-0212 |
| . |
| Date available:
|
2015-06-19T15:15:03Z |
| Last updated:
|
2016-01-03 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/144293 |
| . |
| Reference:
|
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