Bounds for the Clayton copula
Copyright policy )Bounds for the Clayton copula
We provide two upper bounds on the Clayton copula Cθ(u1,...,un) if θ > 0 and n ≥ 2 and a lower bound in the case θ ∈ [-1,0) and n ≥ 2. The obtained bounds provide a nice probabilistic interpretation related to some negative dependence structures and also allow defining three new two-dimensional copulas which tighten the classical Fréchet–Hoeffding bounds for the Clayton copula when n = 2.
- Vilnius University Lithuania
QA299.6-433, Archimedean copula, Measures of association (correlation, canonical correlation, etc.), copula bounds, Clayton copula, negative dependence, Characterization and structure theory for multivariate probability distributions; copulas, Analysis
QA299.6-433, Archimedean copula, Measures of association (correlation, canonical correlation, etc.), copula bounds, Clayton copula, negative dependence, Characterization and structure theory for multivariate probability distributions; copulas, Analysis
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