Total positivity of copulas from a Markov kernel perspective

TL;DR

This paper explores the total positivity of order 2 (TP2) for copulas through a Markov kernel perspective, introducing MK-TP2 as a strong dependence property applicable to various copula types, including singular ones.

Contribution

It introduces and studies the MK-TP2 property for copulas, extending dependence analysis beyond absolutely continuous cases and establishing equivalences within Archimedean copulas.

Findings

MK-TP2 is a stronger dependence property than TP2 and SI.

Within Archimedean copulas, SI and MK-TP2 are equivalent.

MK-TP2 applies to copulas with singular parts, broadening dependence analysis.

Abstract

The underlying dependence structure between two random variables can be described in manifold ways. This includes the examination of certain dependence properties such as lower tail decreasingness (LTD), stochastic increasingness (SI) or total positivity of order 2, the latter usually considered for a copula (TP2) or (if existent) its density (d-TP2). In the present paper we investigate total positivity of order 2 for a copula's Markov kernel (MK-TP2 for short), a positive dependence property that is stronger than TP2 and SI, weaker than d-TP2 but, unlike d-TP2, is not restricted to absolutely continuous copulas, making it presumably the strongest dependence property defined for any copula (including those with a singular part such as Marshall-Olkin copulas). We examine the MK-TP2 property for different copula families, among them the class of Archimedean copulas and the class of extreme value copulas. In particular we show that, within the class of Archimedean copulas, the dependence properties SI and MK-TP2 are equivalent.