Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
389086 | Fuzzy Sets and Systems | 2016 | 10 Pages |
Abstract
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. A new inequality that gives maximal values of C(u,v)−uvC(u,v)−uv is conjectured.
Related Topics
Physical Sciences and Engineering
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Authors
Clark Kimberling,