On a generalization of Archimedean copula family
Jiehua Xie,
Feng Lin and
Jingping Yang
Statistics & Probability Letters, 2017, vol. 125, issue C, 121-129
Abstract:
This paper introduces a new family of multivariate copula functions defined by two generators, which is a multi-dimensional extension of the bivariate copula presented in Durante et al. (2007a). The copula family is also a generalization of Archimedean copula family to allow for tail dependence. The probabilistic structure of the copula function is given. Some properties of the copula function are discussed, such as multivariate tail dependence and uniqueness.
Keywords: Generalization of Archimedean copula; Probabilistic structure; Multivariate tail dependence (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:125:y:2017:i:c:p:121-129
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DOI: 10.1016/j.spl.2017.02.001
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