The theory of copula is known as a useful tool for modeling dependence. In this paper, we propose a new bivariate copula, namely the Cot-copula. The Cot-copula is attractive in that it has both the upper and lower tail dependence measures and these measures coincide with that of Gumbel and Clayton tail dependence measures, respectively. The propose copula also has a wider dependence coverage for the Kendall's tau (τ) than the 12th family of Archimedean Copula of (Nelsen, 2006), which illustrates the ability to capture a wider range of dependence structure. We provide a simulation to compare Cot copula with Gumbel, Clayton and 12th family of Archimedean copula.
Keywords: Archimedean Copulas; Cot-copula; Tail dependence; Kendall's tau, Dependence coverage.
Biography: Azam Pirmoradian born in Iran. She finished her Master in University of Shiraz (Pahlavi) in optimization. Now she is doing her PhD in statistics in University of Malaya.