Various measures of dependence of a new asymmetric generalized Farlie-Gumbel-Morgenstern copulas

被引：7
|
作者：
Pathak, A. K. [1 ]
Vellaisamy, P. [1 ]
机构：
[1] Indian Inst Technol, Dept Math, Mumbai 400076, Maharashtra, India
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2016年 / 45卷 / 18期
关键词：
Copulas; FGM copulas; Measures of association; Regression dependence; Primary: 60E05; Secondary: 62H20; 62J05; EXPONENTIAL-DISTRIBUTIONS; BIVARIATE DISTRIBUTIONS; REGRESSION; EXTENSIONS; FAMILY;
D O I：
10.1080/03610926.2014.942428
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we discuss an asymmetric extension of Farlie-Gumbel-Morgenstern copulas studied by several authors and obtain the range of the parameter. We derive an expression for regression function and the properties of these copulas are studied in detail. Also, explicit expressions for various measures of association are obtained. These measures are numerically compared for some particular parametric values of the copulas.
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页码：5299 / 5317
页数：19
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