کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
389309 661127 2016 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On tail dependence coefficients of transformed multivariate Archimedean copulas
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر هوش مصنوعی
پیش نمایش صفحه اول مقاله
On tail dependence coefficients of transformed multivariate Archimedean copulas
چکیده انگلیسی

This paper presents the impact of a class of transformations of copulas in their upper and lower multivariate tail dependence coefficients. In particular we focus on multivariate Archimedean copulas. In the first part of this paper, we calculate multivariate transformed tail dependence coefficients when the generator of the considered transformed copula exhibits some regular variation properties, and we investigate the behaviour of these coefficients in cases that are close to tail independence. We obtain new results under specific conditions involving regularly varying hazard rates of components of the transformation. These results are also valid for non-transformed Archimedean copulas. In the second part we deal with transformations presented by Di Bernardino and Rullière [20]. We show the utility of using transformed Archimedean copulas, as they permit to build Archimedean generators exhibiting any chosen couple of lower and upper tail dependence coefficients. Finally, we detail the extreme behaviour of the transformed radial part of Archimedean copulas (using results in Larsson and Nešlehová [52]) and we explain possible applications with transformed Markov chains.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Fuzzy Sets and Systems - Volume 284, 1 February 2016, Pages 89–112
نویسندگان
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