Department of Applied Mathematics, University of Venice

WORKING PAPER SERIES

Marta Cardin and Maddalena Manzi

Multivariate dependence modeling

using copulas

Working Paper n. 183/2008

November 2008

ISSN: 1828-6887
This Working Paper is published under the auspices of the Department of Applied
Mathematics of the Ca’ Foscari University of Venice. Opinions expressed herein are
those of the authors and not those of the Department. The Working Paper series is
designed to divulge preliminary or incomplete work, circulated to favour discussion
and comments. Citation of this paper should consider its provisional nature.
 Multivariate dependence modeling
using copulas

Marta Cardin Maddalena Manzi

<mcardin@[Link]> <mmanzi@[Link]>
Dept. of Applied Mathematics Dept. of Mathematics
University of Venice University of Padua

Abstract. There exist necessary and sufficient conditions on the generating functions of
the FGM family, in order to obtain various dependence properties.
We present multivariate generalizations of this class studying symmetry and dependence
concepts, measuring the dependence among the components of each class and providing
several examples.
Keywords: copula, density function, FGM copulas, dependence, symmetry.

JEL Classification Numbers: C02.

MathSci Classification Numbers: 90B50, 91B82, 60A10, 60E15.

Correspondence to:
Marta Cardin Dept. of Applied Mathematics, University of Venice
Dorsoduro 3825/e
30123 Venezia, Italy
Phone: [++39] (041)-234-6929
Fax: [++39] (041)-522-1756
E-mail: mcardin@[Link]
1 Introduction
Analyzing the dependence between the components X1 , . . . , Xn of a random vector X is
subject to various lines of statistical research. For this purpose, copula functions (or simply
copulas) have been introduced by Sklar (1959) which allow for a separation between the
marginal distributions and the dependence structure. Moreover, construction principles for
copulas based on certain functions (“generator functions”) have gained in importance. For
example, Archimedean copulas are constructed by (a possibly rather complicated) compo-
sition of a specific generator function and its corresponding pseudo inverse. In contrast to
that, Amblard and Girard (2002) discuss a very simple construction principle of copulas on
the basis of certain generator functions and a “dependence parameter”θ. Specific general-
ized Farlie - Gumbel (or Sarmanov) copulas are generated by a single function (so-called
generator or generator function) defined on the unit interval. An alternative approach to
generalize the FGM family of copulas is to consider the semi-parametric family of symmet-
ric copulas. This family is generated by a univariate function, determining the symmetry
(radial symmetry, joint symmetry) and dependence property (quadrant dependence, total
positivity) of copulas.
A multivariate data set, which exhibit complex patterns of dependence, particularly in the
tails, can be modeled using a cascade of lower-dimensional copulas. Moreover, these copulas
allow for a direct characterization of symmetry properties, ordering properties and associa-
tion measures. Recently, Amblard and Girard (2004) also state a semiparametric estimation
method for the underlying generator function. However, the parameter θ is not identified
in the semiparametric context.

2 Definitions and properties

First we restrict ourselves to the bivariate case. Loosely speaking, a 2−copula is a two-
dimensional distribution function defined on the unit square with uniformly distributed
marginals. More formally, a two-dimensional copula is a function C : [0, 1] × [0, 1] → [0, 1]
which satisfies the following properties:

1. C is 2-increasing, i.e. for 0 ≤ u1 ≤ v1 ≤ 1 and 0 ≤ u2 ≤ v2 ≤ 1 holds:

C(v1 , v2 ) − C(v1 , u2 ) − C(u1 , v2 ) + C(u1 , u2 ) ≥ 0.

2. For all u, v ∈ [0, 1] : C(u, 0) = C(0, v) = 0 and C(u, 1) = C(1, u) = u.

Note that every copula is bounded below by C min (u, v) = max{u + v − 1, 0} and above
by C max (u, v) = min{u, v}, the so-called Fréchet-Hoeffding bounds. Moreover the copula
associated with the joint distribution of two independent uniform variables is given by
C ⊥ (u, v) = uv.
One of the most popular parametric family of copulas is the Farlie-Gumbel-Morgenstern
(FGM) family defined when θ ∈ [−1, 1] by

CθF GM (u, v) = uv + θu(1 − u)v(1 − v) (1)

1
and studied in Farlie (1960), Gumbel (1960) and Morgenstern (1956).
An alternative approach to generalize the FGM family of copulas is to consider the semi-
parametric family of symmetric copulas defined by
SP
Cθ,φ (u, v) = uv + θφ(u)φ(v), (2)

with θ ∈ [−1, 1] and φ is a function on I = [0, 1]. It was first introduced in Rodrı́guez-Lallena
(1992), and extensively studied in Amblard and Girard (2002, 2005).

2.1 Symmetry properties

Let (a, b) ∈ 2 and (X, Y ) a random pair. We say that X is symmetric about a if the
cumulative distribution functions of (X − a) and (a − X) are identical. The following
definitions generalize this symmetry concept to the bivariate case:

• X and Y are exchangeable if (X, Y ) and (Y, X) are identically distributed;

• (X, Y ) is marginally symmetric about (a, b) if X and Y are symmetric about a and b
respectively;

• (X, Y ) is radially symmetric about (a, b) if (X − a, Y − b) and (a − X, b − Y ) follow

the same joint cumulative distribution function;

• (X, Y ) is jointly symmetric about (a, b) if the pairs of random variables (X − a, Y − b),
(a − X, b − Y ), (X − a, b − Y ) and (a − X, Y − b) have a common joint cumulative
distribution function.

The following theorem provides conditions on φ to ensure that the couple (X, Y ) with
associated copula Cθ is radially (or jointly) symmetric.

Theorem 1 (i) If X and Y are identically distributed then X and Y are exchangeable.
Besides, if (X, Y ) is marginally symmetric about (a, b) then:

(ii) (X, Y ) is radially symmetric about (a, b) if and only if either ∀u ∈ I, φ(u) = φ(1 − u)
or ∀u ∈ I, φ(u) = −φ(1 − u);

(iii) (X, Y ) is jointly symmetric about (a, b) if and only if ∀u ∈ I, φ(u) = −φ(1 − u).

2.2 Concepts of dependence

In this section we note (X, Y ) a random pair with joint cdf H, copula C and margins F and
G. For the sake of simplicity, we assume that X and Y are exchangeable. Several concepts
of dependence have been introduced and characterized in terms of copulas. X and Y are

• Positive Function Dependent (PFD) if for all integrable real-valued function g

!h[g(X)g(Y )] − !h[g(X)]!h[g(Y )] ≥ 0,
where !h is the expectation symbol relative to the density h.
2
 • Positively Quadrant Dependent (PDQ) if (X ≤ x, Y ≤ y) ≥ (X ≤ x) (Y ≤ y),
for all (x, y) ∈ !2 or equivalently

∀(u, v) ∈ I 2 , C(u, v) ≥ uv. (3)

• Left Tail Decreasing (LT D(Y |X)) if (Y ≤ y|X ≤ x) is non-increasing in x for all y,
or equivalently, see Theorem 5.2.5 in Nelsen (2006), u → C(u, v)/u is non-increasing
for all v ∈ I.

• Right Tail Increasing (RT I(Y |X)) if (Y > y|X > x) is non-decreasing in x for all y
or, equivalently, u → (v − C(u, v))/(1 − u) is non-increasing for all v ∈ I.

• Stochastically Increasing (SI(Y |X)) if (Y > y|X = x) is non-decreasing in x for all

y.

• Left Corner Set Decreasing (LCSD) if (X ≤ x, Y ≤ y|X ≤ x′ , Y ≤ y ′ ) is non-

increasing in x′ and y ′ for all x and y, or equivalently, see Corollary 5.2.17 in Nelsen
(2006), C is a totally positive function of order 2 (T P2 ), i.e. for all (u1 , u2 , v1 , v2 ) ∈ I 4
such that u1 ≤ u2 and v1 ≤ v2 , one has

C(u1 , v1 )C(u2 , v2 ) − C(u1 , v2 )C(u2 , v1 ) ≥ 0. (4)

This property is equivalent to Positively Likelihood Ratio Dependent (PLR), which

is defined if and only if C is absolutely continuous and its density c satisfies (4), with
C replaced by c.

• Right Corner Set Increasing (RCSI) if (X > x, Y > y|X > x′ , Y > y ′ ) is non-
decreasing in x′ and y ′ for all x and y, or equivalently, the survival copula Ĉ associated
to C is a totally positive function of order 2.

More broadly, one has the following definition:

Definition 1 Let A and B be subsets of [0, 1]. A function C defined on A × B is said to

be totally positive of order k, denoted T Pk , if for all m, 1 ≤ m ≤ k and all u1 < . . . < um ,
v1 < . . . < vm (ui ∈ A , vj ∈ B)
   
u1 , . . . , um C(u1 , v1 ), . . . , C(u1 , vm )
C ≡ det ≥ 0. (5)
v1 , . . . , vm C(um , v1 ), . . . , C(um , vm )

When the inequalities (5) are strict for m = 1, . . . , k, C is called strictly totally positive of
order k (ST Pk ).
There are several obvious consequences of the definition.

1. If a and b are nonnegative functions defined, respectively, on A and B and if K is

T Pk then a(u)b(v)C(u, v) is T Pk .

2. If g and h are defined on A and B, respectively, and monotone in the same direction,
and if C is T Pk on g(A) × h(B), then C(g(u), h(v)) is T Pk on A × B.

3
The following Corollary 5.2.6 in Nelsen [8] gives us the criteria for tail monotonicity in terms
of the partial derivatives of C.
Corollary 1 Let X and Y be continuous random variables with copula C. Then
∂C(u,v) C(u,v)
1. LTD(Y |X) if and only if for any v in I, ∂u ≤ u for almost all u;
∂C(u,v) C(u,v)
2. LTD(X|Y ) if and only if for any u in I, ∂v ≤ v for almost all v;
∂C(u,v) v−C(u,v)
3. RT I(Y |X) if and only if for any v in I, ∂u ≥ (1−u) for almost all u;
∂C(u,v) u−C(u,v)
4. RT I(X|Y ) if and only if for any u in I, ∂v ≥ (1−v) for almost all v.

When X and Y are exchangeable, there are no reason to distinguish SI(Y |X) and SI(X|Y ),
which will be both noted SI. Similarly, we will denote LT D the equivalent properties
LT D(Y |X) and LT D(X|Y ), and RT I, RT I(Y |X) or RT I(X|Y ). The following theorem in
[1] is devoted to the study of properties of positive dependence of any pair (X, Y ) associated
with the copula Cθ defined by (2). Similar results can be established for the corresponding
concepts of negative dependence.
Theorem 2 Let θ > 0 and (X, Y ) a random pair with copula Cθ .
• X and Y are P F D.

• X and Y are P QD if and only if either ∀u ∈ I, φ(u) ≥ 0 or ∀u ∈ I, φ(u) ≤ 0.

• X and Y are LT D if and only if φ(u)/u is monotone.

• X and Y are RT I if and only if φ(u)/(u − 1) is monotone.

• X and Y are LCSD if and only if they are LT D.

• X and Y are RCSI if and only if they are RT I.

• X and Y are SI if and only if φ(u) is either concave or convex.

• X and Y have the T P 2 density property if and only if they are SI.

3 The general case

Many of the dependence properties encountered in earlier sections have natural extensions
to the multivariate case. In three or more dimensions, rather than quadrants we have
“orthants,”and the generalization of quadrant dependence is known as orthant dependence.
First of all we recall the definition of n-copula due to A. Sklar in 1959: an n-copula is the
restriction to the unit cube [0, 1]n of a multivariate cumulative distribution function, whose
marginals are uniform on [0, 1].
More precisely, an n-copula is a function C : [0, 1]n → [0, 1] that satisfies:
(a) C(u) = 0 if ui = 0 for any i = 1, . . . , n, that is C is grounded ;

4
(b) C(u) = ui if all coordinates of u are 1 except ui , that is C has uniform one-dimensional
marginals;

(c) C is n-increasing, i.e. VC (B) ≥ 0 for any n-box B = [u1 , v1 ] × [u2 , v2 ] × . . . × [un , vn ] ⊆
[0, 1]n with ui ≤ vi , i = 1, 2, . . . , n, where the C-volume of the n-box B is given by
X
VC (B) = ǫ(z1 , . . . , zn ) · C(z1 , . . . , zn ) ≥ 0, (6)

with
(
1 if zi = ui for an even number of i’s,
ǫ(z1 , . . . , zn ) =
−1 if zi = ui for an odd number of i’s

and the sum in (6) is extended to all vertices of B.

Conditions (a) and (b) are known as boundary conditions, whereas condition (c) is known
as monotonicity.
Now we are going to examine the role played by n-copulas in the study of multivariate
dependence.

Definition 2 Let X = (X1 , X2 , . . . , Xn ) be an n-dimensional random vector.

1. X is positively lower orthant dependent (PLOD) if for all x = (x1 , x2 , . . . , xn ) in Rn ,

n
Y
P [X ≤ x] ≥ P [Xi ≤ xi ]; (7)
i=1

2. X is positively upper orthant dependent (PUOD) if for all x = (x1 , x2 , . . . , xn ) in Rn ,

n
Y
P [X > x] ≥ P [Xi > xi ]; (8)
i=1

3. X is positively orthant dependent (POD) if for all x in Rn , both (7) and (8) hold.

Negative lower orthant dependence (NLOD), negative upper orthant dependence (PUOD)
and negative orthant dependence (NOD) are defined analogously, by reversing the sense of
the inequalities in (7) and (8).
For n = 2, (7) and (8) are equivalent to (3).
The following definitions are from Brindley and Thompson (1972), Harris (1970), Joe (1997).

Definition 3 Let X = (X1 , X2 , . . . , Xn ) be an n-dimensional random vector and let the

sets A and B partition of {1,2,. . . ,n}.

1. LT D(XB |XA ) if P [XB ≤ xB |XA ≤ xA ] is nonincreasing in xA for all xB ;

2. RT I(XB |XA ) if P [XB > xB |XA > xA ] is nondecreasing in xA for all xB ;

5
 3. SI(XB |XA ) if P [XB > xB |XA = xA ] is nondecreasing in xA for all xB ;

4. LCSD(X) if P [X ≤ x|X ≤ x′ ] is nonincreasing in x′ for all x;

5. RCSI(X) if P [X > x|X > x′ ] is nondecreasing in x′ for all x.

We recall that for x ∈ n a phrase such as “nondecreasing in x” means nondecreasing in

each component xi , i = 1, 2, . . . , n.
In the bivariate case, the corner set monotonicity properties were expressible in terms
of total positivity (Corollary 5.2.16 in [8]). The same is true in the multivariate case with
n
the following generalization of total positivity: a function f from R to R is multivariate
totally positive of order two (M T P2 ) if

f (x ∨ y)f (x ∧ y) ≥ f (x)f (y) (9)

n
for all x, y ∈ R , where

x ∨ y = (max(x1 , y1 ), max(x2 , y2 ), . . . , max(xn , yn )),

x ∧ y = (min(x1 , y1 ), min(x2 , y2 ), . . . , min(xn , yn )).

Lastly, X is positively likelihood ratio dependent if its joint n-dimensional density h is
M T P2 .
A first one-parameter multivariate extension of the class of copulas given by (1) is
n
Y n
Y
Cθ (u) = ui + θ φi (ui ), u ∈ [0, 1]n , (10)
i=1 i=1

where θ ∈ R and φi , 1 ≤ i ≤ n, are n non-zero absolutely continuous functions such

Q that
φi (0) = φi (1) = 0. Note that all the k−dimensional margins, 2 ≤ k < n, are k . The
density function of (10) is
n
Y
cθ (u) = 1 + θ φ′i (ui ), (11)
i=1

whose parameter θ has the admissible range

n
Y n
Y
′
−1/supu∈D+ ( )φi (ui ) ≤ θ ≤ −1/infu∈D− ( )φ′i (ui ),
i=1 i=1

where D− = {u ∈ [0, 1]n : i=1 φ′i (ui ) < 0} and D+ = {u ∈ [0, 1]n : ni=1 φ′i (ui ) > 0}.
Qn Q
The survivalQfunction and the survival n-copula associatedQ
with the n-copula
Q Cθ are given
by C θ (u) = ni=1 (1−ui )+(−1)n θ ni=1 φi (ui ) and Ĉθ (u) = ni=1 ui +(−1)n θ ni=1 φi (1−ui ),
Q
respectively, for every u ∈ [0, 1]n .
Let Cθ be the corresponding
Qn family of n-copulas given by (10). Then, Cθ is positively or-
dered if and only if φ (u n
Qn i=1 i Q i ) ≥ 0 for all u in [0, 1] .
n Qn Qn
Let Cθ1 (u) = i=1 ui + θ1 i=1 φi (ui ) and Cθ2 (u) = i=1 ui + θ2 i=1 γi (ui ) be two

6
n−copulas. Then, CQθ1 is more PLOD (respectively, PUOD) than Cθ2 if and only
Q if
θ1 ni=1 φi (ui ) ≥ θ2 ni=1 γi (ui ) (respectively, (−1)n θ1 ni=1 φi (1−ui ) ≥ (−1)n θ2 ni=1 γi (1−
Q Q
ui )).
Much of the theory of bivariate dependence presents considerable difficulty when one at-
tempts to generalize it to more than two dimensions. We want to extend in this paper to
more than two random variables, X1 , . . . , Xn the problem of dependence.
The following theorem is from Dolati and Úbeda-Flores (2006) [4].

Theorem 3 Let X be an n-dimensional random vector whose associated n-copula Cθ is

defined by (10) and such that the functions φi , i = 1, . . . , n and θ are non-negative. Let XA
and XB be two subsets of X as in the preceding definition. Then:

(i) LT D(XB |XA ) if and only if φi (u) ≥ uφ′i (u) for all u ∈ [0, 1] and for every i ∈ A;

(ii) RT I(XB |XA ) if and only if φi (u) ≥ (u − 1)φ′i (u) for all u ∈ [0, 1] and for every i ∈ A;

(iii) SI(XB |XA ) if and only if (−1)n φ′′i (u) h∈A−{i} φ′h (uh ) ≥ 0 for every i ∈ A, and
Q
u, uh ∈ [0, 1].

3.1 Other properties

Now we want to study the previous properties extended to n dimensions, using the copula
approach, in particular with regard to the family given by (10). So, we prove the following
theorem.

Theorem 4 Let X be an n-dimensional random vector whose associated n-copula Cθ is

defined by (10) and such that the functions φi , i = 1, . . . , n and θ are non-negative. Let XA
and XB be two subsets of X as in the preceding theorem. Then:

(i) X is P F D if n is even;

(ii) X is P LOD;

(iii) X is M T P2 if XA and XB are LT D;

(iv) X is RCSI if XA and XB are RT I;

(v) XA and XB are SI if and only if X has the M T P2 density property.

Proof.

(i) Let g be an integrable real-valued function on I. The density distribution cθ of the

cumulative distribution Cθ is given by (11). Routine calculations yield
Z 1 n
Ecθ [g(X1 ) . . . g(Xn )] − Ecθ [g(X1 )] . . . Ecθ [g(Xn )] = θ g(t)φ′i (t)dt ≥ 0,
0

since θ ≥ 0 and n is even.

7
(ii) The vector X is P LOD if and only if the uniform I-margins vector U with distribution
CQ
θ is P LOD. For U, condition (7) simply rewrites C(u1 , . . . , un ) ≥ u1 . . . un , that is
θ ni=1 φi (ui ) ≥ 0, ∀ui ∈ I and the conclusion follows.

(iii) Let the partition of {1, 2, . . . , n} be in two subsets A and B, such that max(ui , vi ) = ui
and max(uj , vj ) = vj , ∀i ∈ A and ∀j ∈ B respectively. So,
Y Y
Cθ (u ∨ v) = Cθ (. . . , ui , . . . , vj , . . .) = u i vj + θ φi (ui )φj (vj ) u, v ∈ [0, 1]n ,
i∈A i∈A
j∈B j∈B

and
Y Y
Cθ (u ∧ v) = Cθ (. . . , ui , . . . , vj , . . .) = u i vj + θ φi (ui )φj (vj ) u, v ∈ [0, 1]n .
i∈AC i∈AC
j∈B C j∈B C

We observe that AC = B and A ∪ AC = {1, . . . , n}. Therefore

Cθ (u ∨ v)Cθ (u ∧ v) − Cθ (u)Cθ (v) =

Y Y  Y Y 
= u i vj + θ φi (ui )φj (vj ) ui vj + θ φi (ui )φj (vj ) −
i∈A i∈A i∈AC i∈AC
j∈B j∈B j∈B C j∈B C
n
Y n
Y n
Y Yn 
− ui + θ φi (ui ) vi + θ φi (vi ) =
i=1 i=1 i=1 i=1
n
Y n
Y Y Y
= u i vi + θ 2 φi (ui )φi (vi ) + θ u i vj φi (ui )φj (vj )+
i=1 i=1 i∈A i∈AC
j∈B j∈B C
Y Y n
 Y n
Y
+θ u i vj φi (ui )φj (vj ) − u i vi + θ 2 φi (ui )φi (vi )+
i∈AC i∈A i=1 i=1
j∈B C j∈B

Yn n
Y 
+θ ui φi (vi ) + θ vi φi (ui ) .
i=1 i=1

So, by rearranging the expression, we have

Cθ (u ∨ v)Cθ (u ∧ v) − Cθ (u)Cθ (v) =

n  Y φ (u )φ (v ) Y φi (ui )φj (vj ) Yn n
Y i i j j φi (ui ) Y φi (vi ) 
=θ u i vi + − − =
u i vj u i vj ui vi
i=1 i∈A C i∈A i=1 i=1
j∈B j∈B C
n
" #" #
Y Y φi (ui ) Y φi (vi ) Y φj (vj ) Y φj (uj )
=θ u i vi − − .
ui vi vj uj
i=1 i∈A i∈A j∈B j∈B

8
 φi (u)
Now is derivable because the ratio of two derivable functions and we have
u
d  Y φi (u)   φ′i (u)u − φi (u)  Y φh (uh )
= ≤ 0, ∀u ∈ [0, 1]
du u u2 uh
i∈A h∈A\{i}

for the hypothesis of LT D. The same happens to the other factor. So we have two
monotonically decreasing functions and, as a consequence, M T P2 property, that is
our thesis.
(iv) It is similar to
Q (iii). In fact X is
QRCSI if and only if the survival copula associated to
C, Ĉθ (u) = ni=1 ui + (−1)n θ ni=1 φi (1 − ui ) is M T P2 . So we have
Ĉθ (u ∨ v)Ĉθ (u ∧ v) − Ĉθ (u)Ĉθ (v) =
n
" #" #
Y Y φi (1 − ui ) Y φi (1 − vi ) Y φj (1 − vj ) Y φj (1 − uj )
n
= (−1) θ u i vi − − .
ui vi vj uj
i=1 i∈A i∈A j∈B j∈B

Now we do the same thought as in the previous case:

 φ (1 − u) ′ −uφ′ (1 − u) − φ (1 − u)
i i i
= .
u u2
We use RT I property, by putting u′ = 1 − u and in fact we have
−uφ′i (1 − u) − φi (1 − u) = (u′ − 1)φ′i (u′ ) − φi (u′ ) ≤ 0, ∀u′ ∈ [0, 1]
and so we have M T P2 property again.
(v) X has the M T P2 density property if and only if the density of the copula verifies
cθ (u ∨ v)cθ (u ∧ v) − cθ (u)cθ (v) ≥ 0, (12)
which rewrites solving the calculations like in the point (iii)
 Y  Y 
′ ′ ′ ′
cθ (u ∨ v)cθ (u ∧ v) − cθ (u)cθ (v) = 1 + θ φi (ui )φj (vj ) 1 + θ φi (ui )φj (vj ) −
i∈A i∈AC
j∈B j∈B C
 n
Y  n
Y   n
Y Y
− 1+θ φ′i (ui ) 1+θ φ′i (vi ) = 1+θ 2
φ′i (ui )φ′i (vi ) + θ φ′i (ui )φ′j (vj )+
i=1 i=1 i=1 i∈AC
j∈B C
Y   n
Y n
Y n
Y 
+θ φ′i (ui )φ′j (vj ) − 1 + θ2 φ′i (ui )φ′i (vi ) + θ φ′i (vi ) + θ φ′i (ui ) =
i∈A i=1 i=1 i=1
j∈B
Y Y n
Y n
Y 
=θ φ′i (ui )φ′j (vj ) + φ′i (ui )φ′j (vj ) − φ′i (vi ) − φ′i (ui ) =
i∈A i∈AC i=1 i=1
j∈B j∈B C
" #" #
Y Y Y Y
=θ φ′i (ui ) − φ′i (vi ) φ′j (vj ) − φ′j (uj ) .
i∈A i∈A j∈B j∈B

9
 Now,
d Y ′  Y
φi (ui ) = ± φ′′i (u) φ′h (uh ) ≥ 0
du
i∈A h∈A\{i}

for our hypothesis. The same happens to the other factor and so we have proved our
thesis.
Conversely, assume that (12) holds. So, the function i∈A φ′i is either increasing or
Q
decreasing and then XA and XB are SI.

Example We can consider the example 2.2 proposed by Dolati and Úbeda-Flores in [4].
Let fi (u) = ub (1 − u)a , 1 ≤ i ≤ 3, with a, b ≥ 1. Then, for all (u1 , u2 , u3 ) ∈ [0, 1]3 , the
function

Cθ (u1 , u2 , u3 ) = u1 u2 u3 + θub1 (1 − u1 )a ub2 (1 − u2 )a ub3 (1 − u3 )a

is a 3-copula. In particular, if a = b = 1, we have a one-parametric trivariate extension of

the F GM family with θ ∈ [−1, 1]. Suppose θ > 0, then, from theorem 2.1 in [4] we have
that Cθ is LT D if and only if b = 1, Cθ is RT I if and only if a = 1, and Cθ is SI if and
only if a = b = 1.
As a consequence from the theorem 4, we can also conclude that Cθ is M T P2 if b = 1. If
a = 1 Cθ is RCSI and it has the M T P2 density property if and only if a = b = 1. Moreover
Cθ is P LOD, but it is not P F D.

4 Concluding remarks
In this work we have studied a multivariate generalization of one-parametric family of
copulas. In particular we have analyzed concepts of dependence with regard to the example
(2) in [4]. In fact we have continued that analysis, by extending the links between these
concepts and exploring ways in which copulas can be used in the study of dependence
between random variables. However, the case with φi (ui ) and θ negative and with more
parameters are open problems. Moreover, the study of dependence properties for other
classes of one-parametric n-copulas that generalize (1) can be considered in a further work.

References
[1] Cécile Amblard, Stéphane Girard (2002). “Symmetry and dependence properties within
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[2] Cécile Amblard, Stéphane Girard (2005). “Estimation Procedures for a Semiparametric
Family of Bivariate Copulas”, Journal of Computational and Graphical Statistics 14,
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[3] Cécile Amblard, Stéphane Girard (2008). “A new extension of bivariate FGM copulas”,
Springer.

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 [4] Ali Dolati, Manuel Úbeda-Flores (2006). “Some new parametric families of multivariate
copulas”, International Mathematical Forum, 1, n.1, 17-25.

[5] F. Durante (2007). “A new family of symmetric bivariate copulas”, C.R. Math. Acad.
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[6] [Link] (1997). Multivariate Models and Dependence Concepts, Chapman & Hall, Lon-
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[7] Matthias Fischer, Ingo Klein (2007). “Constructing generalized FGM copulas by means
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[8] Roger B. Nelsen (1999). An Introduction to Copulas, in: Lecture Notes in Statistics,
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[9] Roger B. Nelsen (2006). An Introduction to Copulas, 2nd edn., Springer Series in Statis-
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[10] M. D. Taylor 2007. “Multivariate measures of concordance”, AISM, 59, 789-806.

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