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Fischer, Matthias J.
Klein, Ingo
Year of Publication: 
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Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 78/2007
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.
Tail Dependence
Extreme-value copulas
arithmetic and geometric mean
Document Type: 
Working Paper

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