Exploring the Lambda Copula Construction Method for Archimedean copulas: Discussion of Three Lambda Types
AbstractWe introduce and discuss a new parametric copula builder which is named the “Lambda construction method”. The methodology is explained and illustrated using 3 types of Lambda functions. It shows that the Lambda method has strong visual advantages for recognizing key dependence characteristics and importing them into the copula model. Furthermore, the Lambda method facilitates the representation of a copula family as a collection of comparable test spaces as defined in Michiels and De Schepper (2008). As such, the modeling capacity of these families is discussed in a clear way.
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Bibliographic InfoPaper provided by University of Antwerp, Faculty of Applied Economics in its series Working Papers with number 2008021.
Length: 32 pages
Date of creation: Dec 2008
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