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Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg >

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dc.contributor.authorKlein, Ingoen_US
dc.date.accessioned2010-12-07en_US
dc.date.accessioned2011-01-14T10:34:50Z-
dc.date.available2011-01-14T10:34:50Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/43702-
dc.language.isogeren_US
dc.publisherUniversität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnbergen_US
dc.relation.ispartofseriesDiskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 86/2010en_US
dc.subject.ddc330en_US
dc.subject.keywordcopulaen_US
dc.subject.keywordgeneralized linear meansen_US
dc.subject.keywordSpearman's ρen_US
dc.subject.keywordtail dependenceen_US
dc.subject.stwKopulaen_US
dc.subject.stwTheorieen_US
dc.titleUnter verallgemeinerter Mittelwertbildung abgeschlossene Familien von Copulasen_US
dc.typeWorking Paperen_US
dc.identifier.ppn641163290en_US
dc.description.abstracttransWe will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH) and the Barnett-Gumbel (BG) families of copulas closed under weighted linear, harmonic and geometric mean. For these generalizations we calculate the range of Spearman's ρ depending on the choice of weights α, the copulas generating function φ and the exponent γ determining what kind of mean value will be considered. It seems that FGM and AMH generating function φ(υ) = 1 - υ maximizes the range of Spearman's ρ. Furthermore, it will be shown that the considered families of copulas closed under the construction of generalized linear means have no tail dependence in the sense of Ledford & Tawn.-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:faucse:862010-
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

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