A Note on Upper Tail Behavior of Liouville Copulas

A Note on Upper Tail Behavior of Liouville Copulas

The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in the upp...

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Bibliographic Details
Main Author: Lei Hua
Format: Article
Language:English
Published: MDPI AG 2016-11-01
Series:Risks
Subjects:
tail order
tail order functions
tail order density
dirichlet distributions
scale mixtures
Online Access:http://www.mdpi.com/2227-9091/4/4/40

Internet

http://www.mdpi.com/2227-9091/4/4/40

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