Abstract
A distribution is said to be meta-elliptical if its associated copula is elliptical. Various properties of these copulas are critically reviewed in terms of association measures, concepts, and stochastic orderings, including tail dependence. Most results pertain to the bivariate case.
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Abdous, B., Genest, C., Rémillard, B. (2005). Dependence Properties of Meta-Elliptical Distributions. In: Duchesne, P., RÉMillard, B. (eds) Statistical Modeling and Analysis for Complex Data Problems. Springer, Boston, MA. https://doi.org/10.1007/0-387-24555-3_1
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DOI: https://doi.org/10.1007/0-387-24555-3_1
Publisher Name: Springer, Boston, MA
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