relation: http://eprints.imtlucca.it/706/
title: Threshold copulas and positive dependence
creator: Durante, Fabrizio
creator: Foschi, Rachele
creator: Spizzichino, Fabio
subject: HA Statistics
subject: HB Economic Theory
description: Starting with a notion of positive dependence View the MathML source and with the family of the lower threshold copulas Ct associated with a bivariate distribution having copula C, we define different notions of positive dependence for C, reflecting the dependence properties of the copulas Ct for some t.  Then, we analyze some structural aspects of lower threshold copulas and of the given definitions. Furthermore we consider several specific cases arising from relevant special choices of View the MathML source (e.g., PQD, LTD, TP2 and PLR). Our analysis, in particular, allows us to present a number of relevant examples and counter-examples, which can be useful in the study of the tail dependence for a bivariate distribution.
date: 2008
type: Article
type: PeerReviewed
format: application/pdf
language: en
identifier: http://eprints.imtlucca.it/706/1/Durante_Foschi_Spizzichino_Revision.pdf
identifier:   Durante, Fabrizio and Foschi, Rachele and Spizzichino, Fabio  Threshold copulas and positive dependence.  Statistics & Probability Letters, 78 (17).  2902 - 2909.       (2008)  
relation: http://www.sciencedirect.com/science/article/pii/S0167715208002344
relation: 10.1016/j.spl.2008.04.013