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Supermodular dependence ordering on a class of multivariate copulas

✍ Scribed by Gang Wei; Taizhong Hu

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
147 KB
Volume
57
Category
Article
ISSN
0167-7152

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✦ Synopsis

In most situations, the dependence monotonicities of copulas are checked by problem-speciΓΏc approaches. Sometimes, it is impossible to check the monotonicities from the analytic forms of copulas. The purpose of this paper is to lay out some general results that can be used to identify dependence parameter(s) with respect to the supermodular dependence ordering for a parametric family of copulas constructed through mixing and limits. Special attention is paid to multivariate extreme value copulas, and some examples of applications are provided.

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The copula of a bivariate distribution, constructed by making marginal transformations of each component, captures all the information in the bivariate distribution about the dependence between two variables. For frailty models for bivariate data the choice of a family of distributions for the rando