Two new generators of Archimedean copulas with their properties

Agnideep Aich, Ashit Baran Aich and Bruce Wade

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 17, 5566-5575

Abstract: In this article, two new generators of bivariate Archimedean copulas are proposed. Several useful properties, such as the Kendall’s τ rank correlation coefficient and lower and upper tail dependence coefficients are derived. This article suggests methods of generating new Archimedean generators from existing Archimedean generators. The motivation comes from Najjari (2018) who conjectures that a finite product of a number of Archimedean generators is again an Archimedean generator. Applying Najjari’s conjecture, two new Archimedean copulas are proposed, along with their important properties. In selecting the initial generators, we have utilized the list of Archimedean generators given in Nelsen (2006).

Date: 2025
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DOI: 10.1080/03610926.2024.2440577

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