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Journal Articles Journal of Multivariate Analysis Year : 2005

Archimedean copulae and positive dependence

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Abstract

In this paper, we consider different issues related to Archimedean copulae and positive dependence. In the first part, we characterize Archimedean copulae that possess positive dependence properties such as multivariate total positivity of order 2 (MTP2) and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Archimedean copula, and we show that they depend on the extendibility of the sequence, and therefore on its positive-dependence properties.

Dates and versions

hal-00539618 , version 1 (24-11-2010)

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Marco Scarsini, Alfred Muller. Archimedean copulae and positive dependence. Journal of Multivariate Analysis, 2005, Vol. 93, N°2, pp. 434 - 445. ⟨10.1016/j.jmva.2004.04.003⟩. ⟨hal-00539618⟩

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