Total positivity of copulas from a Markov kernel perspective

@article{Fuchs2022TotalPO,
  title={Total positivity of copulas from a Markov kernel perspective},
  author={Sebastian Fuchs and Marco Tschimpke},
  journal={Journal of Mathematical Analysis and Applications},
  year={2022}
}
  • S. FuchsM. Tschimpke
  • Published 4 May 2022
  • Computer Science
  • Journal of Mathematical Analysis and Applications
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Problems involving dependent pairs of variables (X, Y) have been studied most intensively in the case of bivariate normal distributions and of 2 × 2 tables. This is due primarily to the importance of…

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The (additive) generator of an Archimedean copula - as well as the inverse of the generator - is a strictly decreasing and convex function, while Morgenstern utility functions are nondecreasing and concave, which provides a basis for deriving either a generator of Archimingean copulas, or its inverse, from a MorgenStern utility function.

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This paper details the correspondence between various dependence concepts and stochastic orderings for an Archimedean copula C Φ (x,y) = Φ - 1 {Φ(x) + Φ(y)} and the aging properties of the…

Archimedean copulae and positive dependence