A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function

DOI10.1080/03610926.2010.489180zbMath1318.62199OpenAlexW1964879778MaRDI 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

zbMATH Keywords

copulageneratorKendall's tauArchimedean copulalambda functiontail-dependence coefficientsthree parameter copula family

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (4)

Unnamed Item ⋮ How to improve the fit of Archimedean copulas by means of transforms ⋮ Unnamed Item ⋮ On Generators in Archimedean Copulas

Cites Work

• Unnamed Item
• 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

This page was built for publication: A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function