Total positivity for a class of non-exchangeable copulas

This note contributes to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, it deals with the construction of a new family of non-exchangeable copulas characterizing the multivariate total positivity of order 2 (MTP2) dependence.

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Year of publication:	2015-04-20
Authors:	Cerqueti, Roy ; Lupi, Claudio
Institutions:	Dipartimento di Economia, Gestione, Società e Istituzioni, Università degli Studi del Molise
Subject:	Copulas \| MTP2 dependence \| Non-exchangeability

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Extent:	application/pdf
Series:	Economics & Statistics Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	1 pages long
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011264722