Generator of Clayton copula

Discussion in 'SP9' started by ALEX_AK, Mar 30, 2018.

  1. ALEX_AK

    ALEX_AK Member

    Generator(u) = 1/a ((u^-a)-1), where a is alpha. Alpha >= -1. It was mentioned that the Clayton generator is strict only when a > 0. May I know why is Clayton generator strict only when a > 0?
    For a generator to be strict, it should fulfil,
    Generator(0) = infinity
    If I have a=2 and u=0,
    Generator(0) = 1/2 ((0^-2)-1) = -1/2
    This is not inifinity.
    Not sure on how is the condition of a > 0 being derived?
     
  2. Simon James

    Simon James ActEd Tutor Staff Member

    You might like to think about 0^-2 a little.

    Try rewriting as 1/0^2
     
  3. ALEX_AK

    ALEX_AK Member

    Hi Simon, thanks a lot. I understand it now. :)
     

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