A comprehensive extension of the FGM copula
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DOI: 10.1007/s00362-015-0703-1
Abstract: We consider one-parametric families of copulas for which the complement function for independence satisfies an anti-symmetric property. The Spearman rank correlation and Kendall’s tau of an anti-symmetric family of copulas are necessarily odd functions of… read more here.
Keywords: anti symmetric; copula; extension fgm; fgm copula ... See more keywords
A new extension of the FGM copula for negative association
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2018.1440312
Abstract: ABSTRACT In this paper we introduced a single parameter, absolutely continuous and radially symmetric bivariate extension of the Farlie-Gumbel-Morgenstern (FGM) family of copulas. Specifically, this extension measures the higher negative dependencies than most FGM extensions… read more here.
Keywords: extension fgm; new extension; copula negative; copula ... See more keywords