کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1154559 958393 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Threshold copulas and positive dependence
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Threshold copulas and positive dependence
چکیده انگلیسی

Starting with a notion of positive dependence PP and with the family of the lower threshold copulas CtCt associated with a bivariate distribution having copula CC, we define different notions of positive dependence for CC, reflecting the dependence properties of the copulas CtCt for some tt.Then, we analyze some structural aspects of lower threshold copulas and of the given definitions. Furthermore we consider several specific cases arising from relevant special choices of PP (e.g., PQD, LTD, TP22 and PLR). Our analysis, in particular, allows us to present a number of relevant examples and counter-examples, which can be useful in the study of the tail dependence for a bivariate distribution.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 78, Issue 17, 1 December 2008, Pages 2902–2909
نویسندگان
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