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Some Properties Of Lower Tail Dependence Copula

Posted on:2009-12-02Degree:MasterType:Thesis
Country:ChinaCandidate:L X HuFull Text:PDF
GTID:2120360245481378Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
This paper studies the dynamic evolution of the lower tail dependence copula(LTDC)of Archimedean Copula,provides some sufficient conditions to preserve the Concordance order under LTDC transformations and refines limit results of LTDC.Some numerical measurements such as Kendall'sτand lower tail dependence coefficient of LTDC are evaluated as well.
Keywords/Search Tags:Archimedean Copula, Clayton Copula, Lower Tail Dependence Copula (LTDC), Kendall'sτ, Lower Tail Dependence Coefficient
PDF Full Text Request
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