A note on upper-patched generators for Archimedean copulas
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چکیده
منابع مشابه
A note on upper-patched generators for Archimedean copulas
The class of multivariate Archimedean copulas is defined by using a realvalued function called the generator of the copula. This generator satisfies some properties, including d-monotonicity. We propose here a new basic transformation of this generator, preserving these properties, thus ensuring the validity of the transformed generator and inducing a proper valid copula. This transformation ac...
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This study after reviewing construction methods of generators in Archimedean copulas (AC), proposes several useful lemmas related with generators of AC. Then a new trigonometric Archimedean family will be shown which is based on cotangent function. The generated new family is able to model the low dependence structures.
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Durante et al. (2007) introduced a class of bivariate copulas depending on two generators which generalizes some known families such as the Archimedean copulas. In this paper we provide some result on properties of this family when the generators are certain univariate survival functions.
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The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in the upper tails, and they can be useful in modeling tail risks. In this article, we study the upper tail...
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ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2017
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps/2017003