From Archimedean to Liouville copulas

Journal of Multivariate Analysis

Volumn 101, Issue 8, 2010, Pages 1772-1790

  McNeil, Alexander J ^a   Nešlehová, Johanna ^b  

^a MAXWELL INSTITUTE FOR MATHEMATICAL SCIENCES   (United Kingdom)

^b MCGILL UNIVERSITY   (Canada)

Author keywords

Archimedean copula; Dependence ordering; Kendall's tau; Laplace transform; Liouville distribution; Primary; Secondary; Simplex distribution l1 norm symmetric distribution; Stochastic ordering; Stochastic simulation; Williamson d transform

Indexed keywords

EID: 77953082512     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2010.03.015     Document Type: Article

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