We introduce the notion of diagonal plane section of a trivariate copula as an additional tool to describe its tail dependence behavior. This notion extends the concept of diagonal section of a bivariate copula. We provide existence results for trivariate copulas with a given diagonal plane function. Related results are discussed, especially about extensions to a higher dimensional setting.
Diagonal plane sections of trivariate copulas
Durante F;
2016-01-01
Abstract
We introduce the notion of diagonal plane section of a trivariate copula as an additional tool to describe its tail dependence behavior. This notion extends the concept of diagonal section of a bivariate copula. We provide existence results for trivariate copulas with a given diagonal plane function. Related results are discussed, especially about extensions to a higher dimensional setting.File in questo prodotto:
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