参数族阿基米德Copula的尾相关性

Tail dependence of Archimedean Copula with parameter

本文讨论了生成元为双参数情形的二维阿基米德Copula的尾相关系数,以及高维单参数族和双参数族情形.而且对于二维和高维的尾相关系数进行比较.

In this paper, the tail-dependent coefficients of Archimedean Copula, of which generator contains two parameters, are presented, also for high dimension. And the contrast between the binary and high dimension are compared.