Non-exchangeable copulas and multivariate total positivity
نویسندگان
چکیده
منابع مشابه
Simulating Exchangeable Multivariate Archimedean Copulas and its Applications
Multivariate exchangeable Archimedean copulas are one of the most popular classes of copulas that are used in actuarial science and finance for modelling risk dependencies and for using them to quantify the magnitude of tail dependence. Owing to the increase in popularity of copulas to measure dependent risks, generating multivariate copulas has become a very crucial exercise. Current methods f...
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ژورنال
عنوان ژورنال: Information Sciences
سال: 2016
ISSN: 0020-0255
DOI: 10.1016/j.ins.2016.04.026