eprintid: 706
rev_number: 11
eprint_status: archive
userid: 19
dir: disk0/00/00/07/06
datestamp: 2011-07-07 08:04:30
lastmod: 2011-07-11 14:37:42
status_changed: 2011-07-07 08:04:30
type: article
metadata_visibility: show
item_issues_count: 0
creators_name: Durante, Fabrizio
creators_name: Foschi, Rachele
creators_name: Spizzichino, Fabio
creators_id: 
creators_id: rachele.foschi@imtlucca.it
creators_id: 
title: Threshold copulas and positive dependence
ispublished: pub
subjects: HA
subjects: HB
divisions: EIC
full_text_status: public
abstract: 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
date_type: published
publication: Statistics & Probability Letters
volume: 78
number: 17
pagerange: 2902 - 2909
id_number: 10.1016/j.spl.2008.04.013 
refereed: TRUE
official_url: http://www.sciencedirect.com/science/article/pii/S0167715208002344
citation:   Durante, Fabrizio and Foschi, Rachele and Spizzichino, Fabio  Threshold copulas and positive dependence.  Statistics & Probability Letters, 78 (17).  2902 - 2909.       (2008)  
document_url: http://eprints.imtlucca.it/706/1/Durante_Foschi_Spizzichino_Revision.pdf