Publication
Title
A new method for the construction of bivariate Archimedean copulas based on the function
Author
Abstract
We introduce and discuss a general method for constructing bivariate Archimedean copula families. The central item in our method is the function [image omitted] (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 λL and λU, as defined in Joe (1997), 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.
Language
English
Source (journal)
Communications in statistics : theory and methods. - New York, N.Y.
Publication
New York, N.Y. : 2011
ISSN
0361-0926
Volume/pages
40:15(2011), p. 2670-2679
ISI
000290406700004
Full text (Publisher's DOI)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 22.06.2011
Last edited 06.08.2017
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