Title: Properties and Measures of Dependence for the Archimax Copula
Abstract:The Archimax copula, which generalizes the Archimedian and the bivariate extreme value copulas, is considered. It is shown that the stochastic increasing property of an Archimax copula is inherited fr...The Archimax copula, which generalizes the Archimedian and the bivariate extreme value copulas, is considered. It is shown that the stochastic increasing property of an Archimax copula is inherited from its associated Archimedian copula. The calculation of Kendall’s tau and Spearman’s rho for Archimax copulas is reviewed. A closed-form integral representation for Spearman’s rho of the Gumbel-Hougaard Archimax copula is obtained. Based on a checkerborad approximation of copulas in the topology of uniform convergence, we use the obtained results to calculate a numerical counterexample to an open conjecture by Hutchinson-Lai, which states bounds on Spearman’s rho in terms of Kendall’s tau under the stochastic increasing dependence property.Read More
Publication Year: 2004
Publication Date: 2004-02-01
Language: en
Type: article
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Cited By Count: 2
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