Modeling Directional Monotonicity in Sequence with Copulas

descriptionPublicationkeyboard_double_arrow_right Article 14 Nov 2024 Spain English Publisher:MDPI AGJournal:Axioms, volume 13, page 785 (eissn: 2075-1680,

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Authors: José Juan Quesada-Molina; Manuel Úbeda-Flores;

doi: 10.3390/axioms13110785

handle: 10481/97019 , 10835/17464

Modeling Directional Monotonicity in Sequence with Copulas

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Abstract

In this paper, we present the concept of being monotonic in sequence according to a specific direction for a collection of random variables. This concept broadens the existing notions of multivariate dependence, such as sequential left-tail and right-tail dependence. Furthermore, we explore connections with other multivariate dependence concepts, highlight key properties, and analyze the new concept within the framework of copulas. Several examples are provided to demonstrate our findings.

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Spain

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Keywords

random variable, Copula, Random variable, Monotonic in sequence dependence, QA1-939, copula, monotonic in sequence dependence, Mathematics

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