A new one parameter family of Archimedean copula and its extensions / Azam Pirmoradian

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A new one parameter family of Archimedean copula and its extensions / Azam Pirmoradian

In order to characterize the dependence of extreme risk, the concept of tail dependence for bivariate distribution functions was introduced. The Gaussian copula, for example, does not have upper or lower tail dependence - it shows asymptotic independence regardless of the correlation that may exist...

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Bibliographic Details
Main Author:	Pirmoradian, Azam
Format:	Thesis
Published:	2013
Subjects:	Q Science (General) QA Mathematics
Online Access:	http://studentsrepo.um.edu.my/4389/ http://studentsrepo.um.edu.my/4389/1/Thesis_AZAM_PIRMORADIAN.pdf

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