In this paper, we consider different issues related to Archimedean copulae and positive dependence. In the first part, we characterize Archimedean copulae that possess positive dependence properties such as multivariate total positivity of order 2 (MTP2) and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Archimedean copula, and we show that they depend on the extendibility of the sequence, and therefore on its positive-dependence properties.
Archimedean copulae and positive dependence / Mueller, A; Scarsini, Marco. - In: JOURNAL OF MULTIVARIATE ANALYSIS. - ISSN 0047-259X. - 93:(2005), pp. 434-445. [10.1016/j.jmva.2004.04.003]
Archimedean copulae and positive dependence
SCARSINI, MARCO
2005
Abstract
In this paper, we consider different issues related to Archimedean copulae and positive dependence. In the first part, we characterize Archimedean copulae that possess positive dependence properties such as multivariate total positivity of order 2 (MTP2) and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Archimedean copula, and we show that they depend on the extendibility of the sequence, and therefore on its positive-dependence properties.
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