Title: A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function
Abstract:We introduce and discuss a general method for constructing bivariate Archimedean copula families. The central item in our method is the function (t ∈ [0, 1]), where ϕ is the generator of the Archimede...We introduce and discuss a general method for constructing bivariate Archimedean copula families. The central item in our method is the function (t ∈ [0, 1]), where ϕ is the generator of the Archimedean copula. The construction of new copulas by means of λ has several advantages. The most important one is the straightforward relationship between the λ function and Kendall's τ and the coefficients of upper and lower tail dependence λ L and λ U , as defined in Joe (1997 Joe , H. ( 1997 ). Multivariate Models and Dependence Concepts . London : Chapman and Hall .[Crossref] , [Google Scholar]), which makes it possible to use these quantities as copula parameters and to control them independently of each other. Furthermore, the λ-method allows to construct multi-parameter families in a clear and organized way. The methodology is explained and illustrated by two- and three-parameter copula families.Read More
Publication Year: 2011
Publication Date: 2011-05-05
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 7
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