Invariant dependence structure under univariate truncation |
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| Authors: | Fabrizio Durante |
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| Affiliation: | 1. School of Economics and Management , Free University of Bozen-Bolzano , 39100 , Bolzano , Italy;2. Department of Knowledge-Based Mathematical Systems , Johannes Kepler University , A-4040 , Linz , Austria |
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| Abstract: | The class of all bivariate copulas that are invariant under univariate truncation is characterized. To this end, a family of bivariate copulas generated by a real-valued function is introduced. The obtained results are also used in order to show that the Clayton family of copulas (including its limiting elements) coincides with the class of copulas that are invariant under bivariate truncation and contains all exchangeable copulas which are invariant under univariate truncation. |
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| Keywords: | Clayton model copula threshold copula univariate conditioning tail dependence |
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