Name
Abstract | ||
|---|---|---|
The Farlie-Gumbel-Morgenstern copulas are related to the independence copula Pi and can be seen as perturbations of Pi. Based on quadratic constructions of copulas, we provide a new look at them. Starting from any 2-dimensional copula and an appropriate real function, we introduce new parametric families of copulas which in the case of the independence copula Pi coincide with the Farlie-Gumbel-Morgenstern family. Using the proposed approach, we also obtain as a particular case a subclass of the Frechet family of copulas containing all three basic copulas W, Pi and M, i.e. a comprehensive family of copulas. Finally, based on an iterative approach, we introduce copula families (C-r)(r is an element of[-infinity,infinity]) complete w.r.t. dependence parameters, resulting in the case of the independence copula and parameters r is an element of [-1, 1] in the Farlie-Gumbel-Morgenstern family. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1007/978-3-319-91473-2_21 | Communications in Computer and Information Science |
Keywords | DocType | Volume |
Copula,FGM copula,Comprehensive family of copulas,Quadratic construction of copulas,Copula family complete w.r.t. dependence parameters,Extended FGM family | Conference | 853 |
ISSN | Citations | PageRank |
1865-0929 | 0 | 0.34 |
References | Authors | |
0 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Anna Kolesárová | 1 | 517 | 57.82 |
| Radko Mesiar | 2 | 4 | 0.84 |
| Susanne Saminger-Platz | 3 | 76 | 10.94 |