A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function
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Publication:3017874
DOI10.1080/03610926.2010.489180zbMath1318.62199MaRDI QIDQ3017874
Inge Koch, Ann De Schepper, Frederik Michiels
Publication date: 20 July 2011
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2010.489180
copula; generator; Kendall's tau; Archimedean copula; lambda function; tail-dependence coefficients; three parameter copula family
62H20: Measures of association (correlation, canonical correlation, etc.)
62E17: Approximations to statistical distributions (nonasymptotic)
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Cites Work
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- An introduction to copulas.
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Tails of multivariate Archimedean copulas
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Absolutely Continuous Copulas with Given Diagonal Sections