A method of constructing generators of Archimedean Copulas
Zhao Qiong · Journal of Zhejiang University(Science Edition) · 2011
Archimedean Copulas play an important role in economics and finance,they can be constructed by some functions which are decreasing and convex.The functions which are decreasing and convex are called generators.Different generators could generate different Archimedean Copulas.A method of constructing of Archimedean generators which depends on some one-dimensional continuous distributions has been found by g function.We can obtain this generators by one-dimensional continuous distribution function easily.In addition,the relationship between the g function and generator is disscussed in this paper,thus,Archimedean Copulas can be extended in some cases.