General Multivariate Dependence Using Associated Copulas

This paper studies the general multivariate dependence of a random vector using associated copulas. We extend definitions and results of positive dependence to the general dependence case. This includes associated tail dependence functions and associated tail dependence coefficients. We derive the relationships among associated copulas and study the associated copulas of the perfect dependence cases and elliptically contoured distributions. We present the expression for the associated tail dependence function of the multivariate Student-t copula, which accounts for all types of dependence

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Year of publication:	2011
Authors:	Salazar, Yuri
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Multivariate Verteilung \| Multivariate distribution \| Multivariate Analyse \| Multivariate analysis \| Theorie \| Theory

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