MULTIVARIATE ARCHIMEDEAN COPULAS, d-MONOTONE FUNCTIONS AND l1-NORM SYMMETRIC DISTRIBUTIONS

• 成果类型: Article
• 署名作者: McNeil, Alexander J.; Neslehova, Johanna
• 署名单位: Heriot Watt University; University of Edinburgh; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/07-AOS556
• 发表日期: 2009
• 页码: 3059-3097
• 关键词: families; derivatives; dependence; MARGINALS

摘要

It is shown that a necessary and sufficient condition for an Archimedean copula generator to generate a d-dimensional copula is that the generator is a d-monotone function. The class of d-dimensional Archimedean copulas is shown to coincide with the class of survival copulas of d-dimensional l(1)-norm symmetric distributions that place no point mass at the origin, The d-monotone Archimedean copula generators may be characterized using a little-known integral transform of Williamson [Duke Math. J. 23 (1956) 189207] in an analogous manner to the well-known Bernstein-Widder characterization of completely monotone generators in terms of the Laplace transform. These insights allow the construction of new Archimedean Copula families and provide a general solution to the problem of sampling multivariate Archimedean copulas. They also yield useful expressions for the d-dimensional Kendall function and Kendall's rank correlation coefficients and facilitate the derivation of results On the existence of densities and the description of singular components for Archimedean copulas. The existence of a sharp lower bound for Archimedean copulas with respect to the positive tower orthant dependence ordering is shown.