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	On a generalization of Archimedean copula family
	Xie, Jiehua ; Lin, Feng ; Yang, Jingping
	2017
关键词	Generalization of Archimedean copula Probabilistic structure Multivariate tail dependence MULTIVARIATE COPULAS ESTIMATING SURVIVAL TAIL DEPENDENCE DISTRIBUTIONS MODEL
英文摘要	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. (C) 2017 Elsevier B.V. All rights reserved.; National Natural Science Foundation of China [11561047, 11671021]; SCI(E); ARTICLE; 121-129; 125
语种	英语
出处	SCI
出版者	STATISTICS & PROBABILITY LETTERS
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/473273]
专题	数学科学学院
推荐引用方式 GB/T 7714	Xie, Jiehua,Lin, Feng,Yang, Jingping. On a generalization of Archimedean copula family. 2017-01-01.

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