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On Generators in Archimedean Copulas

Journal: Sahand Communications in Mathematical Analysis (Vol.12, No. 1)

Publication Date:

Authors : ;

Page : 155-166

Keywords : Copulas; Generator; Dependence concepts; Measures of association; Tails;

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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.

Last modified: 2019-04-28 14:10:01