Construction of Archimedean copulas using total time on test transforms

  • N. Unnikrishnan Nair Department of Statistics, Cochin University of Science and Technology, Cochin, Kerala, India
  • B. Vineshkumar Department of Statistics, Government Arts College, Thiruvananthapuram, Kerala, India
Keywords: Ageing, Dependence measures, Excess wealth transform, Kendall distribution


In the present work, we propose a method of constructing Archimedean copulas using the total time on test transform, extensively used in reliability modelling. It is observed that the copula can be specified in terms of a univariate life distribution with a finite mean and monotone hazard rate. We discuss some new properties of the Kendall distribution arising from the proposed new generator and the associated measures of dependence.


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