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Journal of Multivariate Analysis
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Journal of Multivariate Analysis
Article . 2013
License: Elsevier Non-Commercial
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Journal of Multivariate Analysis
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Archimedean survival processes

Authors: Edward Hoyle; Levent Ali Menguturk;

Archimedean survival processes

Abstract

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.

Keywords

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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    popularity
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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
22
Average
Top 10%
Average
Green
hybrid