Lower Tail Dependence Copula of Archimedean Copula

Hu Lixia

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Lower Tail Dependence Copula of Archimedean Copula

Hu Lixia *

School of Mathematics and Statistics, Lanzhou University

*Correspondence author

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Funding: 国家自然科学基金（No.10771090）

Opened online:21 March 2008

Accepted by: none

Citation: Hu Lixia .Lower Tail Dependence Copula of Archimedean Copula[OL]. [21 March 2008] http://en.paper.edu.cn/en_releasepaper/content/19601

This paper studies the dynamic evolution of the lower tail dependence copula (LTDC) of Archimedean Copula. We also obtain some sufficient conditions to preserve the concordance order under LTDC transformations. Some numerical measurements such as Kendall＇s $tau$ and lower tail dependence coefficient of LTDC are evaluated as well.

Keywords:Archimedean Copula; Lower Tail Dependence Copula

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