A STRANGE FAMILY OF BIVARIATE DISTRIBUTIO NS

Authors
GENEST C GHOUDI K
Citation
C. Genest et K. Ghoudi, A STRANGE FAMILY OF BIVARIATE DISTRIBUTIO NS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 318(4), 1994, pp. 351-354
Citations number
11
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
318
Issue
4
Year of publication
1994
Pages
351 - 354
Database
ISI
SICI code
0764-4442(1994)318:4<351:ASFOBD>2.0.ZU;2-Y
Abstract
This Note describes a complete system of bivariate Archimedean copulas which stands out because of its unusual dependence properties. While ordered by stochastic dominance and absolutely continuous with respect to Lebesgue measure, the members of this family of distributions mode l random variables that are neither positive nor negative quadrant dep endent. In addition, this system provides an example where Kendall's t au and Spearman's rho do not vanish for the same distribution in the f amily.