Copulas, stable tail dependence functions, and multivariate monotonicity
Abstract: For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole scale. Copulas are special distribution functions, and stable tail dependence functions are special co-survival functions. It will turn out that for both classes the basic degree of monotonicity is the only one possible, apart from the (trivial) independence functions. As a consequence a “nesting” of such functions depends on particular circumstances. For nested Archimedean copulas the rather restrictive conditions known so far are considerably weakened.
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Erschienen in
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Copulas, stable tail dependence functions, and multivariate monotonicity ; volume:7 ; number:1 ; year:2019 ; pages:247-258 ; extent:12
Dependence modeling ; 7, Heft 1 (2019), 247-258 (gesamt 12)
- Urheber
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Ressel, Paul
- DOI
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10.1515/demo-2019-0013
- URN
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urn:nbn:de:101:1-2411201437034.769641135379
- Rechteinformation
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
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15.08.2025, 07:38 MESZ
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Beteiligte
- Ressel, Paul
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