๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Densities of nested Archimedean copulas

โœ Scribed by Hofert, Marius; Pham, David


Book ID
120169953
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
483 KB
Volume
118
Category
Article
ISSN
0047-259X

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Sampling nested Archimedean copulas
โœ McNeil, Alexander J. ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Taylor and Francis Group ๐ŸŒ English โš– 753 KB
Hierarchies of Archimedean copulas
โœ Savu, Cornelia; Trede, Mark ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Taylor and Francis Group ๐ŸŒ English โš– 212 KB
Dependence and Order in Families of Arch
โœ Roger B. Nelsen ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 973 KB

The copula for a bivariate distribution function H(x, y) with marginal distribution functions F (x) and G( y) is the function , where . is a convex decreasing continuous function on (0, 1] with .(1)=0. A copula has lower tail dependence if C(u, u)ร‚u converges to a constant # in (0, 1] as u ร„ 0 + ;