A Note on Upper Tail Behavior of Liouville Copulas

A Note on Upper Tail Behavior of Liouville Copulas

Blog Article

The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform.Liouville 100w products copulas provide a very wide range of dependence ranging from positive to negative dependence in the upper tails, and they can be useful in modeling tail risks.In this article, we study the upper tail behavior of Liouville copulas through their upper tail orders.Tail orders of a more general scale mixture model quest fryer that covers Liouville distributions is first derived, and then tail order functions and tail order density functions of Liouville copulas are derived.

Concrete examples are given after the main results.