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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| Format: | Thesis |
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2013
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| Online Access: | http://studentsrepo.um.edu.my/4389/1/Thesis_AZAM_PIRMORADIAN.pdf http://studentsrepo.um.edu.my/4389/ |
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