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Archimedean Copulae and Positive Dependence

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  • Alfred Müller
  • Marco Scarsini

Abstract

In the first part of the paper we consider positive dependence properties of Archimedean copulae. Especially we characterize the Archimedean copulae that are multivariate totally positive of order 2 (MTP2) and conditionally increasing in sequence. In the second part we investigate conditions for binary sequences to admit an Archimedean copula.

Suggested Citation

  • Alfred Müller & Marco Scarsini, 2003. "Archimedean Copulae and Positive Dependence," ICER Working Papers - Applied Mathematics Series 25-2003, ICER - International Centre for Economic Research.
    • Handle: RePEc:icr:wpmath:25-2003
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    Keywords

    Conditionally increasing; MTP2; positive lower orthant dependent; exchangeability; binary sequences.;
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