A New Family of Archimedean Copula via Trigonometric Generator Function

Abstract

In this paper, new type of Archimedean copula based on cotangent generator function, and dependence characteristics are investigated. Also, the estimation procedure of the dependence parameter is given. A Monte Carlo study is performed to measure the performance of estimators. To demonstrate the goodness of fit performance of the new family, a real data analysis is performed.

Keywords

• Archimedean copula,Tail dependence,Kendall's tau,Parameter estimation

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