关于下尾相依Copula的若干性质

Some properties of lower-tail dependence copula

下尾相依Copula(LTDC)刻划了随机变量之间的尾部相依结构.对于Archimedean Copula的LTDC,讨论了其相依性随尾部水平变化的动态特性,建立了和谐序在LTDC变换下封闭的充分条件,同时计算了LTDC的下尾相依系数.

Lower tail dependence Copula （LTDC） depicts dependence structure in tails of random variables. For Archimedean Copula＇s LTDC, its dependence properties were discussed and some sufficient conditions for preserving the Concordance order under LTDC transformations were presented. And lower tail dependence coefficient was evaluated as well.