A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas
Williamson’s integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply ℓ1- symmetry. We then introduce a new class of generalized Archimedean copulas, where in contrast to n...
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| Format: | Article |
| Language: | English |
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De Gruyter
2018-12-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2018-0020 |