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On generators in Archimedean copulas. (English) Zbl 1412.62058

Summary: This study, after reviewing construction methods of generators in Archimedean copulas (AC), proposes several useful lemmas related with generators of AC. Then a new trigonometric Archimedean family will be shown which is based on cotangent function. The generated new family is able to model the low dependence structures.

MSC:

62H05 Characterization and structure theory for multivariate probability distributions; copulas
62H20 Measures of association (correlation, canonical correlation, etc.)
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