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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

Parameters

 

Domain

Copula

Kendall’s rank correlation coefficient (for bivariate case)

Coefficient of upper tail dependence

Coefficient of lower tail dependence

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.

 


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