A directory of families of infinitely extendible Archimedean copulas

Kimberling Clark

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A directory of families of infinitely extendible Archimedean copulas

机译：无限扩展的阿基米德系系族的目录

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摘要

This article introduces families of strict multivariate Archimedean copulas, C, the ordering of copulas within these families, and associated boundary copulas. The new families are compared with the Clayton, Frank, and Gumbel families with regard to measures of dependence, including tail dependence, Kendall's tau, and Spearman's rho for dimensions 2, 3, and 4. Anew inequality that gives maximal values of C(u, v) - uv is conjectured. (C) 2015 Elsevier B.V. All rights reserved.

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来源
《Fuzzy sets and systems》 |2016年第15期|130-139|共10页
作者
Kimberling Clark;
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作者单位

Univ Evansville, Dept Math, 1800 Lincoln Ave, Evansville, IN 47722 USA;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种 eng
中图分类
关键词
Archimedean copula; Sklar's theorem; Kendall's tau; Spearman's rho; Joint distribution function;

机译：阿基米德系法;斯克拉定理;肯德尔牛头;斯皮尔曼的rho;联合分布函数;

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A directory of families of infinitely extendible Archimedean copulas

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