The comonotonicity copula
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The Comonotonicity copula is a special copula
characterising perfect positive dependence, in the sense that the
are
almost surely strictly increasing functions of each other.
Copula name
|
comonotonicity
copula
|
Common notation
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|
Parameters
|
|
Domain
|

|
Copula
|

|
Kendall’s rank correlation
coefficient (for bivariate case)
|

|
Coefficient of upper
tail dependence
|

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Coefficient of lower
tail dependence
|

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Other comments
|
Is the extreme case where dependency is as strongly
“positive” as possible (i.e. achieves the Fréchet upper bound)
|
Nematrian web functions
Functions relating to the above distribution may be accessed
via the Nematrian
web function library by using a DistributionName of “Comonotonicity Copula”.
For details of other supported probability distributions see here.
NAVIGATION LINKS
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