Hyperbolic and Trigonometric Generators of Archimedean Copulas: Characteristics and Performance

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.

کلیدواژه ها:

Archimedean copula ، Generator function ، Kendall's tau ، Spearman rho ، Stochastic Frontier Analysis