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.

引用

下载

页码：5299 / 5317

页数：19

共 50 条

[21] Constant Dividend Barrier in a Risk Model with a Generalized Farlie-Gumbel-Morgenstern Copula
Cossette, Helene
Marceau, Etienne
Marri, Fouad
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2011, 13 (03) : 487 - 510
[22] Construction of New Bivariate Semilinear Copulas Based on the Ali-Mikhail-Haq, Farlie-Gumbel-Morgenstern and Plackett Families
Correia, Atila P.
Suzuki, Adriano K.
Ferreira, Paulo H.
Viola, Marcio L. L.
ADVANCES IN DATA SCIENCE AND ADAPTIVE ANALYSIS, 2024, 16 (01N02)
[23] RELATIONSHIPS BETWEEN 2 EXTENSIONS OF FARLIE-GUMBEL-MORGENSTERN DISTRIBUTION
LIN, GD
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1987, 39 (01) : 129 - 140
[24] Some information measures in concomitants of generalized order statistics under iterated Farlie-Gumbel-Morgenstern bivariate type
Barakat, H. M.
Husseiny, I. A.
QUAESTIONES MATHEMATICAE, 2021, 44 (05) : 581 - 598
[25] Discrete Weibull Variables Linked by Farlie-Gumbel-Morgenstern Copula
Barbiero, Alessandro
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2016 (ICNAAM-2016), 2017, 1863
[26] SENSITIVITY TO PRIOR INDEPENDENCE VIA FARLIE-GUMBEL-MORGENSTERN MODEL
DELAHORRA, J
FERNANDEZ, C
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1995, 24 (04) : 987 - 996
[27] Shannon Information for Concomitants of Generalized Order Statistics in Farlie-Gumbel-Morgenstern (FGM) Family
Tahmasebi, S.
Behboodian, J.
BULLETIN OF THE MALAYSIAN MATHEMATICAL SCIENCES SOCIETY, 2012, 35 (04) : 975 - 981
[28] A New Form of Farlie-Gumbel-Morgenstern Copula: A Comparative Simulation Study and Application
Kaman, Ferhan Bas
Olmus, Hulya
JOURNAL OF STATISTICAL THEORY AND APPLICATIONS, 2021, 20 (02): : 328 - 339
[29] Modifications of the Farlie-Gumbel-Morgenstern distributions. A tough hill to climb
J. S. Huang
Samuel Kotz
Metrika, 1999, 49 : 135 - 145
[30] Reliability characteristics of Farlie-Gumbel-Morgenstern family of bivariate distributions
Gupta, Ramesh C.
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (08) : 2342 - 2353

← 1 2 3 4 5 →