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296106

Extensions of Two Bivariate Strict Archimedean Copulas

Article

Last updated: 05 Jan 2025

Subjects

-

Tags

Applied Mathematics

Abstract

The copula approach provides an option for capturing the structure of dependence between two quantitative variables. This approach is based on special bivariate functions called copulas. In brief, a copula can be presented as a ``functional print'' of a structure of dependence. Among the numerous types of copulas, the strict Archimedean copulas are the most famous. However, some of them appear to be unfairly neglected and understudied. We attempt to rehabilitate two of them, namely the Nelsen strict Archimedean copulas numbers 10 and 17 by extending their mathematical functionality. For each of them, the extension is made by the thorough addition of a parameter, which reveals to have a significant impact on several important aspects. As the main results, we determine the range of admissible values for the involved parameters. Then, the basic properties of the proposed extended copulas are studied, including symmetry, tail dependence, bounds, and correlation. A focus is put on the tau of Kendall as the main correlation measure. For one of the extended copulas, it is shown that there are some connections with the Frank copula and that the associated tau of Kendall almost reached the perfect interval of [-1,1], demonstrating the significance of our findings. Graphics, short statistical works, and numerical tables are given to support the theoretical results.

DOI

10.21608/cjmss.2023.205330.1007

Keywords

Archimedean copulas, Symmetry, correlation, statistical modeling

Authors

First Name

Christophe

Last Name

Chesneau

MiddleName

-

Affiliation

Department of Mathematics, LMNO, University of Caen-Normandie, 14032 Caen, France

Email

christophe.chesneau@gmail.com

City

-

Orcid

-

Volume

2

Article Issue

2

Related Issue

40924

Issue Date

2023-11-01

Receive Date

2023-04-10

Publish Date

2023-11-01

Page Start

159

Page End

180

Print ISSN

2974-3435

Online ISSN

2974-3443

Link

https://cjmss.journals.ekb.eg/article_296106.html

Detail API

https://cjmss.journals.ekb.eg/service?article_code=296106

Order

296,106

Type

Original Article

Type Code

2,545

Publication Type

Journal

Publication Title

Computational Journal of Mathematical and Statistical Sciences

Publication Link

https://cjmss.journals.ekb.eg/

MainTitle

Extensions of Two Bivariate Strict Archimedean Copulas

Details

Type

Article

Created At

29 Dec 2024