Multivariate Archimedean copulas, $d$-monotone functions and $\ell_1$-norm symmetric distributions

TL;DR

This paper establishes a comprehensive characterization of multivariate Archimedean copulas using $d$-monotone functions, linking them to $ ext{l}_1$-norm symmetric distributions, and introduces new methods for their construction and analysis.

Contribution

It provides a necessary and sufficient condition for Archimedean copulas to be $d$-dimensional, characterizes their generators via an integral transform, and offers new tools for constructing and sampling these copulas.

Findings

Characterization of $d$-dimensional Archimedean copulas via $d$-monotone functions.

Connection between Archimedean copulas and $ ext{l}_1$-norm symmetric distributions.

Development of new methods for constructing and sampling Archimedean copulas.

Abstract

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 $\ell_1$-norm symmetric distributions that place no point mass at the origin. The $d$-monotone Archimedean copula generators may be characterized using a little-known integral transform of Williamson [Duke Math. J. 23 (1956) 189--207] in an analogous manner to the well-known Bernstein--Widder characterization of completely monotone generators in terms of the Laplace transform. These insights allow the construction of new Archimedean copula families and provide a general solution to the problem of sampling multivariate Archimedean copulas. They also yield useful expressions for the $d$-dimensional Kendall function and Kendall's rank correlation coefficients and facilitate the derivation of results on the existence of densities and the description of singular components for Archimedean copulas. The existence of a sharp lower bound for Archimedean copulas with respect to the positive lower orthant dependence ordering is shown.