Dependence structure of conditional Archimedean copulas

JOURNAL OF MULTIVARIATE ANALYSIS

卷:99

Article

Mesfioui, Mhamed¹  Quessy, Jean-Francois¹ 

[1] Univ Quebec, Dept Math & Informat, Trois Rivieres, PQ G9A 5H7, Canada

关键词: Archimedean copulas;    conditional distributions;    Frechet upper bound;   

DOI  :  10.1016/j.jmva.2006.10.007

来源: Elsevier

【 摘 要 】

In this article, copulas associated to multivariate conditional distributions in an Archimedean model are characterized. It is shown that this popular class of dependence structures is closed under the operation of conditioning, but that the associated conditional copula has a different analytical form in general. It is also demonstrated that the extremal copula for conditional Archimedean distributions is no longer the Frechet upper bound, but rather a member of the Clayton family. Properties of these conditional distributions as well as conditional versions of tail dependence indices are also considered. (C) 2006 Elsevier Inc. All rights reserved.

【 授权许可】

Free