Likelihood inference for Archimedean copulas in high dimensions under known margins

Explicit functional forms for the generator derivatives of well-known one-parameter Archimedean copulas are derived. These derivatives are essential for likelihood inference as they appear in the copula density, conditional distribution functions, and the Kendall distribution function. They are also required for several asymmetric extensions of Archimedean copulas such as Khoudraji-transformed Archimedean copulas. Availability of the generator...