From Archimedean to Liouville copulas

Abstract

We use a recent characterization of the d-dimensional Archimedean copulas as the survival copulas of d-dimensional simplex distributions (McNeil and Nešlehová (2009)) to construct new Archimedean copula families, and to examine the relationship between their dependence properties and the radial parts of the corresponding simplex distributions. In particular… (More)
DOI: 10.1016/j.jmva.2010.03.015

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