The Annals of Statistics
- Ann. Statist.
- Volume 37, Number 5B (2009), 3059-3097.
Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions
It is shown that a necessary and sufficient condition for an Archimedean copula generator to generate a d-dimensional copula is that the generator is a d-monotone function. The class of d-dimensional Archimedean copulas is shown to coincide with the class of survival copulas of d-dimensional ℓ1-norm symmetric distributions that place no point mass at the origin. The d-monotone Archimedean copula generators may be characterized using a little-known integral transform of Williamson [Duke Math. J. 23 (1956) 189–207] in an analogous manner to the well-known Bernstein–Widder characterization of completely monotone generators in terms of the Laplace transform. These insights allow the construction of new Archimedean copula families and provide a general solution to the problem of sampling multivariate Archimedean copulas. They also yield useful expressions for the d-dimensional Kendall function and Kendall’s rank correlation coefficients and facilitate the derivation of results on the existence of densities and the description of singular components for Archimedean copulas. The existence of a sharp lower bound for Archimedean copulas with respect to the positive lower orthant dependence ordering is shown.
Ann. Statist. Volume 37, Number 5B (2009), 3059-3097.
First available in Project Euclid: 17 July 2009
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62E10: Characterization and structure theory 62H05: Characterization and structure theory 62H20: Measures of association (correlation, canonical correlation, etc.)
Secondary: 60E05: Distributions: general theory
McNeil, Alexander J.; Nešlehová, Johanna. Multivariate Archimedean copulas, d -monotone functions and ℓ 1 -norm symmetric distributions. Ann. Statist. 37 (2009), no. 5B, 3059--3097. doi:10.1214/07-AOS556. https://projecteuclid.org/euclid.aos/1247836677.