Hyperbolic and Trigonometric Generators of Archimedean Copulas: Characteristics and Performance

被引：0

作者：

Kazemirad, Amirmasoud ^{[1
]}

Golshani, Leila ^{[1
]}

Najjari, Vadood ^{[2
]}

Kokabinezhad, Mohsen ^{[1
]}

机构：

[1] Islamic Azad Univ, Dept Math & Stat, Cent Tehran Branch, Tehran, Iran

[2] Altinbas Univ, Dept BioStat, Fac Med, Istanbul, Turkiye

来源：

SAHAND COMMUNICATIONS IN MATHEMATICAL ANALYSIS | 2025年 / 22卷 / 01期

关键词：

Archimedean copula; Generator function; Kendall's tau; Spearman rho; Stochastic frontier analysis; FAMILY;

D O I：

10.22130/scma.2024.2037882.1847

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, hyperbolic and trigonometric functions, based on cosecant and cotangent as generator function for the family of Archimedean copula, are proposed. For these families, the dependence characteristics are compared. Also, to show the performance of these copulas, we investigate the stochastic frontier model based on them. Then we conclude that the copulas based on hyperbolic and trigonometric cosecant and cotangent are more suitable for modeling dependence structure.

引用

页码：221 / 231

页数：12

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