威廉姆森定理的多元版本，1-对称生存函数，和广义阿基米德copuls

IF 0.6 Q4 STATISTICS & PROBABILITY

Dependence Modeling Pub Date : 2018-12-01 DOI:10.1515/demo-2018-0020

P. Ressel

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引用次数: 4

摘要

将半线上n单调函数的Williamson积分表示推广到多维空间。这导致了具有多重对称性的多元生存函数的特征。然后，我们引入了一类新的广义阿基米德copulas，与嵌套阿基米德copulas相比，它的生成器不需要额外的兼容性条件。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas

Abstract Williamson’s integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply ℓ1- symmetry. We then introduce a new class of generalized Archimedean copulas, where in contrast to nested Archimedean copulas no extra compatibility conditions for their generators are required.

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来源期刊

Dependence Modeling STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 weeks

期刊介绍： The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling. It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide. Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math. The journal presents different types of articles: -"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields. -"Review Articles" which present the existing literature on the specific topic from new perspectives. -"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling. The journal topics include (but are not limited to):　 -Copula methods -Multivariate distributions -Estimation and goodness-of-fit tests -Measures of association -Quantitative risk management -Risk measures and stochastic orders -Time series -Environmental sciences -Computational methods and software -Extreme-value theory -Limit laws -Mass Transportations