Constructing archimedean copulas from diagonal sections

Włodzimierz Wysocki

Statistics & Probability Letters, 2012, vol. 82, issue 4, 818-826

Abstract: We introduce a family ℱ of functions called diagonal generators. These are convex functions with the properties of diagonal sections of archimedean copulas. We show that to each diagonal generator f there corresponds an archimedean copula Cf with the asymptotic representation Cf(u1,u2)=limk→∞fk[f−k(u1)+f−k(u2)−1]. Moreover, the diagonal section of Cf equals f.

Keywords: Additive generator; Archimedean copula; Diagonal generator; Diagonal section; Concordance (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spl.2012.01.008

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