On a generalization of Archimedean copula family

• Published in: Statistics & probability letters Vol. 125; pp. 121 - 129
• Main Authors: Xie, Jiehua, Lin, Feng, Yang, Jingping
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.06.2017
• Subjects: Generalization of Archimedean copula; Multivariate tail dependence; Probabilistic structure; Generalization of Archimedean copula; Multivariate tail dependence; Probabilistic structure

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...