Archimedean survival processes

Abstract

Archimedean copulas are popular in theworld of multivariatemodelling as a result of their breadth, tractability, and flexibility. McNeil and Nešlehová (2009) [12] showed that the class of Archimedean copulas coincides with the class of positive multivariate l1-norm symmetric distributions. Building upon their results, we introduce a class of multivariate… (More)
DOI: 10.1016/j.jmva.2012.09.008

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