Hyperbolic and trigonometric generators of archimedean copulas: characteristics and performance
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Tarih
2025
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
University of Maragheh
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In this paper, hyperbolic and trigonometric functions, based on cosecant and cotangent as generator function for the family of Archimedean copula, are proposed. For these families, the dependence characteristics are compared. Also, to show the performance of these copulas, we investigate the stochastic frontier model based on them. Then we conclude that the copulas based on hyperbolic and trigonometric cosecant and cotangent are more suitable for modeling dependence structure.
Açıklama
Anahtar Kelimeler
Archimedean copula, Generator function, Kendall’s tau, Spearman rho, Stochastic frontier analysis
Kaynak
Sahand Communications in Mathematical Analysis
WoS Q Değeri
N/A
Scopus Q Değeri
Q3
Cilt
22
Sayı
1
Künye
Kazemirad, A., Golshani, L., Najjari, V., Kokabinezhad, M.(2024). Hyperbolic and trigonometric generators of archimedean copulas: characteristics and performance. Sahand Communications in Mathematical Analysis, 22(1), 221-231. 10.22130/scma.2024.2037882.1847
