A large class of new bivariate copulas and their properties

DOI10.1214/17-BJPS351zbMath1398.62131MaRDI QIDQ1668043

Mohammad Hossein Alamatsaz, Zahra Sharifonnasabi, Iraj Kazemi

Publication date: 31 August 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1528444869

zbMATH Keywords

stochastic dependencetail dependenceSpearman's \(\rho\)FGM copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items

Unnamed Item ⋮ New families of bivariate copulas via unit Weibull distortion ⋮ Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach

Cites Work

• Unnamed Item
• Dependence structure and symmetry of Huang-Kotz FGM distributions and their extensions
• A new extension of bivariate FGM copulas
• An introduction to copulas.
• Relationships between two extensions of Farlie-Gumbel-Morgenstern distribution
• Aspects of Dependence in Generalized Farlie-Gumbel-Morgenstern Distributions
• Time on trial estimates with bivariate risks
• Symmetry and dependence properties within a semiparametric family of bivariate copulas
• Sensitivity to prior independence via farlie-gumbel-morgenstern model
• Modifications of the Farlie-Gumbel-Morgenstern distributions. A tough hill to climb.