Publication
Title
Exploring the lambda copula construction method for Archimedean copulas: discussion of three lambda types
Author
Abstract
We introduce and discuss a new parametric copula builder which is named the construction method. The methodology is explained and illustrated using 3 types of functions. It shows that the method has strong visual advantages for recognizing key dependence characteristics and importing them into the copula model. Furthermore, the method facilitates the representation of a copula family as a collection of comparable test spaces as defined in Michiels and De Schepper (2008). As such, the modeling capacity of these families is discussed in a clear way.
Language
English
Source (series)
Research paper; 2008:21/ UA, Faculty of Applied Economics
Publication
Antwerp : UA, 2008
Volume/pages
30 p.
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Record
Identification
Creation 22.01.2009
Last edited 04.09.2013
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