FGM generated archimedean copulas with concave multiplicative generators
Publish place: Iranian Journal of Fuzzy Systems، Vol: 18، Issue: 2
Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFS-18-2_003
تاریخ نمایه سازی: 30 خرداد 1400
Abstract:
The Farlie-Gumble-Morgenstren (FGM) family and archimedean family are the most popular parametric families of copulas. In the present paper, we propose an extension of archimedean copulas with concave multiplicative generators in the style of FGM family. In particular, our method allows the modelling of higher positive dependence than the other FGM extensions in the literature. The construction and characteristics of the proposed model along with some examples of parametric subfamilies are provided. A numerical study is used to illustrate the methodology.
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Authors
N. Doodman
Department of Statistics, Faculty of Mathematical Sciences, Ferdowsi University of Mashhad, Iran
M. Amini
Department of Statistics, Ordered Data, Reliability and Dependency Center of Excellence, Ferdowsi University of Mashhad, P.O. Box ۹۱۷۷۵-۱۱۵۹, Mashhad, Iran
H. Jabbari
Department of Statistics, Ordered Data, Reliability and Dependency Center of Excellence, Ferdowsi University of Mashhad, P.O. Box ۹۱۷۷۵-۱۱۵۹, Mashhad, Iran
A. Dolati
Department of Statistics, Faculty of Mathematical Sciences, Yazd University, Iran