Archimedean copulae and positive dependence

Marco Scarsini (1, 2) , Alfred Muller

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 Dipartimento di Scienze Economiche e Aziendali

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.

Keywords: Inequalities; Stochastic orderings; Conditionally increasing; MTP2; positive lower orthant dependent; exchangeability; binary sequences.; binary sequences

Domains: Humanities and Social Sciences; Economics and Finance; Economy and decision science

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⟩