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Pairwise and Global Dependence in Trivariate Copula Models

  • Fabrizio Durante
  • Roger B. Nelsen
  • José Juan Quesada-Molina
  • Manuel Úbeda-Flores
Conference paper
  • 846 Downloads
Part of the Communications in Computer and Information Science book series (CCIS, volume 444)

Abstract

We investigate whether pairwise dependence properties related to all the bivariate margins of a trivariate copula imply the corresponding trivariate dependence property. The main finding is that, in general, information about the pairwise dependence is not sufficient to infer some aspects of global dependence. In essence, dependence is a multi-facet property that cannot be easily reduced to simplest cases.

Keywords

Copula Dependence Stochastic model 

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  • Fabrizio Durante
    • 1
  • Roger B. Nelsen
    • 2
  • José Juan Quesada-Molina
    • 3
  • Manuel Úbeda-Flores
    • 4
  1. 1.School of Economics and ManagementFree University of Bozen-BolzanoBolzanoItaly
  2. 2.Department of Mathematical SciencesLewis and Clark CollegePortlandUSA
  3. 3.Department of Applied MathematicsUniversity of GranadaGranadaSpain
  4. 4.Department of MathematicsUniversity of AlmeríaAlmeríaSpain

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