Article2005

On the preservation of copula structure under truncation

50 citations0/0 files storedCanadian Journal of Statistics

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Financial Risk and Volatility Modeling Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

The author characterizes the copula associated with the bivariate survival model of Clayton (1978) as the only absolutely continuous copula that is preserved under bivariate truncation.

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1999An Introduction to Copulas 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données

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