We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguished properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.
Invariant dependence structures and Archimedean copulas
Durante F;
2011-01-01
Abstract
We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguished properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.File in questo prodotto:
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