Invariant dependence structures and Archimedean copulas

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F11%3A00365505" target="_blank" >RIV/67985556:_____/11:00365505 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.spl.2011.08.018" target="_blank" >http://dx.doi.org/10.1016/j.spl.2011.08.018</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.spl.2011.08.018" target="_blank" >10.1016/j.spl.2011.08.018</a>

Result language
angličtina
Original language name
Invariant dependence structures and Archimedean copulas
Original language description
We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
—

Project
<a href="/en/project/GAP402%2F11%2F0378" target="_blank" >GAP402/11/0378: Aggregation of knowledge and expectations in the models of mathematical economics</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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