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Which of the Following Is an Archimedean Copula Over Two F1,F2F _ { 1 } , F _ { 2 }

Question 9

Multiple Choice

Which of the following is an Archimedean copula over two distribution functions F1,F2F _ { 1 } , F _ { 2 } ?


A) C(F1,F2) =ln{[(ln1F1) a+(ln1F2) a]1/a}C \left( F _ { 1 } , F _ { 2 } \right) = \ln \left\{ - \left[ \left( \ln \frac { 1 } { F _ { 1 } } \right) ^ { a } + \left( \ln \frac { 1 } { F _ { 2 } } \right) ^ { a } \right] ^ { 1 / a } \right\}
B) C(F1,F2) =exp{[(ln1F1) a+(ln1F2) a]a}C \left( F _ { 1 } , F _ { 2 } \right) = \exp \left\{ - \left[ \left( \ln \frac { 1 } { F _ { 1 } } \right) ^ { a } + \left( \ln \frac { 1 } { F _ { 2 } } \right) ^ { a } \right] ^ { a } \right\}
C) C(F1,F2) =exp{[(ln1F1) a+(ln1F2) a]1/a}C \left( F _ { 1 } , F _ { 2 } \right) = \exp \left\{ - \left[ \left( \ln \frac { 1 } { F _ { 1 } } \right) ^ { a } + \left( \ln \frac { 1 } { F _ { 2 } } \right) ^ { a } \right] ^ { 1 / a } \right\}
D) None of the above.

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