Copulas, stable tail dependence functions, and multivariate monotonicity

Abstract

For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole scale.

Keywords

• copula
• stable tail dependence function
• multivariate monotonicity
• nested archimedean copula
• 60e05
• 62h05
• 26a48
• 26b40