The Gumbel copula
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The Gumbel copula is a copula that allows any
specific level of (upper) tail dependency between individual variables. It is
an Archimedean
copula, and exchangeable.
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Copula name
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Gumbel copula
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Common notation
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Parameters
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Domain
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Copula
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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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Other comments
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If  we obtain the independence copula
and as  we approach the comonotonicity
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 “Gumbel Copula”.
For details of other supported probability distributions see here.
NAVIGATION LINKS
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