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Multivariate dependence concepts through copulas
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DOI：10.1016/j.ijar.2015.04.004.png)
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摘要
En 中文
In this paper, multivariate dependence concepts such as affiliation, association and positive lower orthant dependent are studied in terms of copulas. Relationships among these dependent concepts are obtained. An affiliation is a notion of dependence among the elements of a random vector. It has been shown that the affiliation property is preserved using linear interpolation of subcopula. Also our results are applied to the multivariate skew-normal copula. As an application, the dependence concepts used in auction with affiliated signals are discussed. Several examples are given for illustration of the main results. (C) 2015 Elsevier Inc. All rights reserved.
Keyword:
Affiliation
Copula
Linear interpolation
Positively quadrant dependent
Multivariate skew normal distribution
Affiliated signals
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