Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions

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Author
McNeil, Alexander J.
Nešlehová, Johanna
Date
2009-10
Type
    Journal Article
Publication status
published
External links
Journal / series
The Annals of Statistics
Volume
37(5B)
Pages / Article No.
3059 - 3097
Publisher
Institute of Mathematical Statistics
Subject
Archimedean copula; d-monotone function; Dependence ordering; Frailty model; l(1)-norm symmetric distribution; Laplace transform; Stochastic simulation; Williamson d-transform
Organisational unit
02204 - RiskLab / RiskLab  
Notes
First available: 17 July 2009.
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