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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Lehrstuhl für Statistik und Ökonometrie, Universität Erlangen-Nürnberg >
Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/29623
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Fischer, Matthias J. | | en_US |
| dc.contributor.author | | Klein, Ingo | | en_US |
| dc.date.accessioned | | 2009-12-02 | | en_US |
| dc.date.accessioned | | 2010-01-13T14:06:52Z | | - |
| dc.date.available | | 2010-01-13T14:06:52Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/29623 | | - |
| dc.description.abstract | | Copulas represent the dependence structure of multivariate distributions in a natural way. In order to generate new copulas from given ones, several proposals found its way into statistical literature. One simple approach is to consider convex-combinations (i.e. weighted arithmetic means) of two or more copulas. Similarly, one might consider weighted geometric means. Consider, for instance, the Spearman copula, defined as the geometric mean of the maximum and the independence copula. In general, it is not known whether weighted geometric means of copulas produce copulas, again. However, applying a recent result of Liebscher (2006), we show that every weighted geometric mean of extreme-value copulas produces again an extreme-value copula. The second contribution of this paper is to calculate extremal dependence measures (e.g. weak and strong tail dependence coe±cients) for (weighted) geometric and arithmetic means of two copulas. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnberg | | en_US |
| dc.relation.ispartofseries | | Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 78/2007 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Tail Dependence | | en_US |
| dc.subject.keyword | | Extreme-value copulas | | en_US |
| dc.subject.keyword | | arithmetic and geometric mean | | en_US |
| dc.subject.stw | | Kopula (Mathematik) | | en_US |
| dc.subject.stw | | Extremwertanalyse | | en_US |
| dc.subject.stw | | Maßzahl | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Some results on weak and strong tail dependence coefficients for means of copulas | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 614058171 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:faucse:782007 | | - |
| Appears in Collections: | | Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg
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