On Generators in Archimedean Copulas

author

Vadoud Najjari Young Researchers and Elite Club, Maragheh branch, Islamic Azad University, Maragheh, Iran.

Abstract:

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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Journal title

Sahand Communications in Mathematical Analysis

volume 12 issue 1

pages 155- 166

publication date 2018-11-01

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Keywords

Copulas Generator Dependence concepts Measures of association Tails

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