On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
نویسندگان
چکیده
منابع مشابه
On an asymmetric extension of multivariate Archimedean copulas
Archimedean copulas are copulas determined by a specific real function, called the generator. Composited with the copula at a given point, this generator can be expressed as a linear form of generators of the considered point components. In this paper, we discuss the case where this function is expressed as a quadratic form (called here multivariate Archimatrix copulas). This allows extending A...
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A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower tails of the copula are classified into one ...
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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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ژورنال
عنوان ژورنال: Dependence Modeling
سال: 2016
ISSN: 2300-2298
DOI: 10.1515/demo-2016-0019