
arXiv: 1106.2342
Archimedean copulas are popular in the world of multivariate modelling as a result of their breadth, tractability, and flexibility. A. J. McNeil and J. Ne��lehov�� (2009) showed that the class of Archimedean copulas coincides with the class of multivariate $\ell_1$-norm symmetric distributions. Building upon their results, we introduce a class of multivariate Markov processes that we call `Archimedean survival processes' (ASPs). An ASP is defined over a finite time interval, is equivalent in law to a multivariate gamma process, and its terminal value has an Archimedean survival copula. There exists a bijection from the class of ASPs to the class of Archimedean copulas. We provide various characterisations of ASPs, and a generalisation.
Statistics and Probability, FOS: Economics and business, Numerical Analysis, Probability (math.PR), FOS: Mathematics, Statistics, Probability and Uncertainty, Quantitative Finance - General Finance, General Finance (q-fin.GN), Mathematics - Probability
Statistics and Probability, FOS: Economics and business, Numerical Analysis, Probability (math.PR), FOS: Mathematics, Statistics, Probability and Uncertainty, Quantitative Finance - General Finance, General Finance (q-fin.GN), Mathematics - Probability
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