The Independence copula

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The Independence copula is the copula that results from a dependency structure in which each individual variable is independent of each other. It is an Archimedean copula, and exchangeable.


Copula name

Independence copula

Common notation





Kendall’s rank correlation coefficient (for bivariate case)

Coefficient of upper tail dependence,

Coefficient of lower tail dependence,

Archimedean generator function,

Other comments

The independence copula is a special case of several Archimedean copulas. It is also the special case of the Gaussian copula with a correlation matrix equal to the identity matrix.


Nematrian web functions


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


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