bibtype J - Journal Article
ARLID 0365505
utime 20240103195648.6
mtime 20111031235959.9
WOS 000297088200035
DOI 10.1016/j.spl.2011.08.018
title (primary) (eng) Invariant dependence structures and Archimedean copulas
specification
page_count 9 s.
serial
ARLID cav_un_epca*0257616
ISSN 0167-7152
title Statistics & Probability Letters
volume_id 81
volume 12 (2011)
page_num 1995-2003
publisher
name Elsevier
keyword Archimedean copula
keyword Tail dependence
keyword Clayton model
author (primary)
ARLID cav_un_auth*0213278
name1 Durante
name2 F.
country IT
author
ARLID cav_un_auth*0235508
name1 Jaworski
name2 P.
country PL
author
ARLID cav_un_auth*0101163
name1 Mesiar
name2 Radko
full_dept (cz) Ekonometrie
full_dept Department of Econometrics
department (cz) E
department E
institution UTIA-B
full_dept Department of Econometrics
garant G
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
source
url http://library.utia.cas.cz/separaty/2011/E/mesiar-invariant dependence structures and archimedean copulas.pdf
cas_special
project
project_id GAP402/11/0378
agency GA ČR
ARLID cav_un_auth*0273630
research CEZ:AV0Z10750506
abstract (eng) We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.
reportyear 2012
RIV BA
permalink http://hdl.handle.net/11104/0200734
mrcbT16-e STATISTICSPROBABILITY
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mrcbT16-q 34
mrcbT16-s 0.763
mrcbT16-y 14.94
mrcbT16-x 0.6
mrcbT16-4 Q2
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arlyear 2011
mrcbU34 000297088200035 WOS
mrcbU63 cav_un_epca*0257616 Statistics & Probability Letters 0167-7152 1879-2103 Roč. 81 č. 12 2011 1995 2003 Elsevier