Sampling a Survival and Conditional Class of Archimedean Processes

Barro Diakarya

Abstract


Archimedean copulas form a prominent class of copulas which lead to the construction of multivariate distributions involving one-dimensional generator functions. This paper investigate properties of Archimedean copulas of stochastic processes. Specifically we propose analytical expressions of the survival copulas of Archimedean processes. The parametric survival distributions of Archimedean copulas are also characterized. We give conditional characterizations for Archimax copulas both for strictly Archimedean and for strictly extremal subclasses in parametric context.

Full Text: PDF DOI: 10.5539/jmr.v5n1p53

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This work is licensed under a Creative Commons Attribution 3.0 License.

Journal of Mathematics Research   ISSN 1916-9795 (Print)   ISSN 1916-9809 (Online)

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