A directory of families of infinitely extendible Archimedean copulas

被引：2

作者：

Kimberling, Clark ^{[1
]}

机构：

[1] Univ Evansville, Dept Math, 1800 Lincoln Ave, Evansville, IN 47722 USA

来源：

FUZZY SETS AND SYSTEMS | 2016年 / 299卷

关键词：

Archimedean copula; Sklar's theorem; Kendall's tau; Spearman's rho; Joint distribution function;

D O I：

10.1016/j.fss.2015.10.004

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

This article introduces families of strict multivariate Archimedean copulas, C, the ordering of copulas within these families, and associated boundary copulas. The new families are compared with the Clayton, Frank, and Gumbel families with regard to measures of dependence, including tail dependence, Kendall's tau, and Spearman's rho for dimensions 2, 3, and 4. Anew inequality that gives maximal values of C(u, v) - uv is conjectured. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：130 / 139

页数：10

共 10 条

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