Multivariate dependence concepts through copulas

作者：Wei, Zheng; Wang, Tonghui^*; Nguyen, Phuong Anh

来源：International Journal of Approximate Reasoning, 2015, 65: 24-33.

DOI：10.1016/j.ijar.2015.04.004

• Affiliation
• Copula
• Linear interpolation
• Positively quadrant dependent
• Multivariate skew normal distribution
• Affiliated signals

In this paper, multivariate dependence concepts such as affiliation, association and positive lower orthant dependent are studied in terms of copulas. Relationships among these dependent concepts are obtained. An affiliation is a notion of dependence among the elements of a random vector. It has been shown that the affiliation property is preserved using linear interpolation of subcopula. Also our results are applied to the multivariate skew-normal copula. As an application, the dependence concepts used in auction with affiliated signals are discussed. Several examples are given for illustration of the main results.

• 出版日期2015-10
• 单位西北农林科技大学