Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/29623 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorFischer, Matthias J.en
dc.contributor.authorKlein, Ingoen
dc.date.accessioned2009-12-02-
dc.date.accessioned2010-01-13T14:06:52Z-
dc.date.available2010-01-13T14:06:52Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/29623-
dc.description.abstractCopulas 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
dc.language.isoengen
dc.publisher|aFriedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie |cNürnbergen
dc.relation.ispartofseries|aDiskussionspapier |x78/2007en
dc.subject.ddc330en
dc.subject.keywordTail Dependenceen
dc.subject.keywordExtreme-value copulasen
dc.subject.keywordarithmetic and geometric meanen
dc.subject.stwKopula (Mathematik)en
dc.subject.stwExtremwertanalyseen
dc.subject.stwMaßzahlen
dc.subject.stwTheorieen
dc.titleSome results on weak and strong tail dependence coefficients for means of copulas-
dc.type|aWorking Paperen
dc.identifier.ppn614058171en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:faucse:782007en

Files in This Item:
File
Size
133.38 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.