Multivariate dependence modeling using copulas

There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring the dependence among the components of each class and providing several examples.

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Year of publication:	2008-11
Authors:	Cardin, Marta ; Manzi, Maddalena
Institutions:	Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia
Subject:	copula \| density function \| FGM copulas \| dependence \| symmetry

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Extent:	application/pdf
Series:	Working Papers. - ISSN 1828-6887.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 183 15 pages
Classification:	C02 - Mathematical Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005076137