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.
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Copula name
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Generalised Clayton
copula
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Common notation
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Parameters
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 ,
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Domain
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Copula
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Or if  we use the limit
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Kendall’s rank
correlation coefficient (for bivariate case), 
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Coefficient of upper
tail dependence, 
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Coefficient of lower
tail dependence, 
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Archimedean generator
function, 
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Or if we use the limit
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Other comments
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When  the generalised
Clayton copula becomes the Clayton copula.
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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.
NAVIGATION LINKS
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