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Invariant dependence structures and Archimedean copulas
Authors:Fabrizio Durante  Piotr Jaworski  Radko Mesiar
Abstract:We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practical point of view.
Keywords:MSC: 62E10  60G70  62P05
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