Copulas with Truncation-Invariance Property

Amir Ahmadi Javid

19 citations0/0 files storedCommunication in Statistics- Theory and Methods

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

Abstract

For a truncation-invariant copula, truncation does not change the dependence structure as well as all nonparametric measures of association such as Kendall's tau and Spearman's rho. In this article, we show that the products of algebraically independent Archimedean multivariate Clayton copulas and standard uniform distributions are the only truncation-invariant copulas.

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1999An Introduction to Copulas 1998Understanding Relationships Using Copulas 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données 2006Characterization of dependence of multidimensional Lévy processes using Lévy copulas 2002Copula convergence theorems for tail events 2006Lower tail dependence for Archimedean copulas: Characterizations and pitfalls 2006Limiting dependence structures for tail events, with applications to credit derivatives

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