| 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 |
|
| serial |
| ARLID |
cav_un_epca*0257616 |
| ISSN |
0167-7152 |
| title
|
Statistics & Probability Letters |
| volume_id |
81 |
| volume |
12 (2011) |
| page_num |
1995-2003 |
| publisher |
|
|
| 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 |
|
| 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 |
| mrcbT16-f |
0.553 |
| mrcbT16-g |
0.099 |
| mrcbT16-h |
8.6 |
| mrcbT16-i |
0.0137 |
| mrcbT16-j |
0.469 |
| mrcbT16-k |
2468 |
| mrcbT16-l |
272 |
| mrcbT16-q |
34 |
| mrcbT16-s |
0.763 |
| mrcbT16-y |
14.94 |
| mrcbT16-x |
0.6 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
17.655 |
| mrcbT16-C |
24.569 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| 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 |
|