Constructing archimedean copulas from diagonal sections

We introduce a family ℱ of functions called diagonal generators. These are convex functions with the properties of diagonal sections of archimedean copulas. We show that to each diagonal generator f there corresponds an archimedean copula Cf with the asymptotic representation Cf(u1,u2)=limk→∞fk[f−k(u1)+f−k(u2)−1]. Moreover, the diagonal section of Cf equals f.

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Year of publication:	2012
Authors:	Wysocki, Włodzimierz
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 4, p. 818-826
Publisher:	Elsevier
Subject:	Additive generator \| Archimedean copula \| Diagonal generator \| Diagonal section \| Concordance

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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