Introduction to Copulas2
1. Introduction
This is the second lecture on copula function. We have discussed on the definition of copula
function with explanation, its properties, basic terminologies, Sklar theorem etc. in the
previous lecture. Here a particular class of copulas, Archimedean copula, which is
extensively used in recent hydrological and other civil engineering studies, is discussed.
2. Archimedean Copula
2.1. Definition
A copula that can be expressed in terms of ( )
( )
( ) ( ) ( ) v u v u C + =
1
, is known as
Archimedean copula, where is a strictly decreasing, continuous function and
( ) 1
is the
pseudo inverse of it.
The is known as the generator of Copula and defined as,
( )
( ) ( )
( )
s s
s s
=
t
t t
t
0 , 0
0 0 ,
1
] 1 [
2.2. Expression of copula in terms of generator function
Let ( ) ( )
u
u
t t = 1 for < s u 1 where ( ) 1 0 =
u
. Then a generator of Archimedean copula
can be expressed as, ( )
( )
s s
s s
=
t
t t
t
1 , 0
1 0 , 1
] 1 [
u
+ =
+ =
+ =
) 1 ( ) 1 ( 1
) 1 ( ) 1 (
) ( ) ( ,
] 1 [
] 1 [
v u
v u
v u v u C
t .
This relationship is useful for obtain joint distribution from sample measure of dependence in
terms of estimate of Kendalls t . The sample estimate of Kendalls t can be determined by
its definition as, ( )( )   ( )( )  
2 2 2
0 0
C
N N
C
N
C
N
y y x x P y y x x P
n
d c
n
d
n
c
j i j i j i j i
= = < > = t
where
c
N is the number of concordant pairs,
d
N is number of discordant pairs, n is size of
the sample and ( ) 1
2
1
2
= n n C
n
.
A list of few Archimedean copulas are shown in Table 1 with their expressions and other
relevant informations.
e u Kendall (in terms of u )
Clayton
( )  
u
u u
1
0 , 1 max
+
v u
( ) 1
1
u
u
t
 ) { } 0 \ , 1
2 + u
u
Frank
( )( )


.

\

+
1
1 1
1 ln
1
u
u u
u e
e e
v u


.

\

1
1
ln
u
u
e
e
t
( ) { } 0 \ , ( )   1
4
1
1
u
u
D
Ali
Mikhail
Haq
( )( ) v u
uv
1 1 1 u
( )
t
t 1 1
ln
u
[1, 1) ( ) u
u u
u

.

\


.

\

1 ln
1
1
3
2 2 3
2
Gumbel
Hougaard
( ) ( )   ( )
u
u u
/ 1
ln ln exp v u +
( )
u
t ln  ) , 1
u
u 1
3. Concluding Remarks
In this lecture, class of Archimedean copulas is discussed. It is the most popular in
hydrological and other civil engineering studies because of its explicit expression,
applicability in wide range of scalefree measure of dependence. The properties of four most
useful Archimedean copulas are presented. This is the last lecture of this module.