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
Estimation of a common mean vector in bivariate meta-analysis under the FGM copula
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DOI: 10.1080/02331888.2019.1581782
Abstract: ABSTRACT We propose a bivariate Farlie–Gumbel–Morgenstern (FGM) copula model for bivariate meta-analysis, and develop a maximum likelihood estimator for the common mean vector. With the aid of novel mathematical identities for the FGM copula, we… read more here.
Keywords: common mean; bivariate; bivariate meta; fgm copula ... See more keywords
A new extension of the FGM copula for negative association
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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