Multivariate Archimedean copulas, d-monotone functions and โ1-norm symmetric distributions
Multivariate Archimedean copulas, d-monotone functions and โ1-norm symmetric distributions
It is shown that a necessary and sufficient condition for an Archimedean copula generator to generate a d-dimensional copula is that the generator is a d-monotone function. The class of d-dimensional Archimedean copulas is shown to coincide with the class of survival copulas of d-dimensional โ1-norm symmetric distributions that place โฆ