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Dependence and Association Concepts through Copulas

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Modeling Dependence in Econometrics

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 251))

Abstract

In this paper, dependence concepts such as affiliation, left-tail decreasing, right-tail increasing, positively regression dependent, and positively quadrant dependent are studied in terms of copulas. Relationships among these dependent concepts are obtained. An affiliation is a notion of dependence between two positively dependent random variables and some measures of it are provided. It has been shown that the affiliation property is preserved using bilinear extensions of subcopula. As an application, the affiliation property of skew-normal copula is investigated. For illustration of dependent concepts and their relationships, several examples are given.

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Author information

Authors and Affiliations

  1. Department of Mathematical Sciences, New Mexico State University, Las Cruces, USA

    Zheng Wei & Tonghui Wang

  2. College of Science, Northwest A & F University, Yangling, China

    Tonghui Wang

  3. Department of Mathematics and Statistics, Thammasat University, Pathum Thani, Thailand

    Wararit Panichkitkosolkul

Authors
  1. Zheng Wei
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  2. Tonghui Wang
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  3. Wararit Panichkitkosolkul
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Corresponding author

Correspondence to Zheng Wei .

Editor information

Editors and Affiliations

  1. APAN Advanced Institute of Science and Technology, Ishikawa, Japan

    Van-Nam Huynh

  2. Department of Computer Science, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  3. Faculty of Economics, Chiangmai University, Chiangmai, Thailand

    Songsak Sriboonchitta

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© 2014 Springer International Publishing Switzerland

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Wei, Z., Wang, T., Panichkitkosolkul, W. (2014). Dependence and Association Concepts through Copulas. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S. (eds) Modeling Dependence in Econometrics. Advances in Intelligent Systems and Computing, vol 251. Springer, Cham. https://doi.org/10.1007/978-3-319-03395-2_7

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  • DOI: https://doi.org/10.1007/978-3-319-03395-2_7

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-03394-5

  • Online ISBN: 978-3-319-03395-2

  • eBook Packages: EngineeringEngineering (R0)

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