Invariant dependence structure under univariate truncation: the high-dimensional case

被引：8
|
作者：
Jaworski, Piotr [1 ]
机构：
[1] Univ Warsaw, Inst Math, PL-02097 Warsaw, Poland
来源：
STATISTICS | 2013年 / 47卷 / 05期
关键词：
copula; threshold copula; univariate conditioning; truncation of the first variable; invariant copula; 62E10; 60E05; 60G70; 62P05;
D O I：
10.1080/02331888.2012.664143
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, the class of all multivariate copulas that are invariant under univariate truncation is characterized.
引用
收藏
页码：1064 / 1074
页数：11
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