Multivariate total positivity of order 2 (MTP2) is a dependence property with a number of applications in statistics and mathematics. Given the theoretical and practical relevance of MTP2, it is important to investigate the conditions under which random vectors have this property. In this paper we contribute to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, we propose a new family of non-exchangeable Archimedean copulas which leads to MTP2. The focus on nonexchangeability allows us to overcome the limitations induced by symmetric dependence, typical of standard Archimedean copulas.
Non-exchangeable copulas and multivariate total positivity
CERQUETI, ROY;
2016-01-01
Abstract
Multivariate total positivity of order 2 (MTP2) is a dependence property with a number of applications in statistics and mathematics. Given the theoretical and practical relevance of MTP2, it is important to investigate the conditions under which random vectors have this property. In this paper we contribute to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, we propose a new family of non-exchangeable Archimedean copulas which leads to MTP2. The focus on nonexchangeability allows us to overcome the limitations induced by symmetric dependence, typical of standard Archimedean copulas.File | Dimensione | Formato | |
---|---|---|---|
Cerqueti_Non-exchangeable-copulas-multivariate_2016.pdf
solo utenti autorizzati
Tipologia:
Documento in post-print (versione successiva alla peer review e accettata per la pubblicazione)
Licenza:
DRM non definito
Dimensione
332.22 kB
Formato
Adobe PDF
|
332.22 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.