The Generalised Clayton copula

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The Generalised Clayton copula is a copula that allows any specific (non-zero) level of (lower) tail dependency between individual variables. It is an Archimedean copula and exchangeable.


Copula name

Generalised Clayton copula

Common notation





Or if  we use the limit

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

Coefficient of upper tail dependence,

Coefficient of lower tail dependence,

Archimedean generator function,

Or if  we use the limit 

Other comments

When  the generalised Clayton copula becomes the Clayton copula.


Nematrian web functions


Functions relating to the above distribution may be accessed via the Nematrian web function library by using a DistributionName of “Generalised Clayton Copula”. For details of other supported probability distributions see here.


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