Stochastic representation of FGM copulas using multivariate Bernoulli random variables

DOI10.1016/j.csda.2022.107506OpenAlexW4224221461MaRDI QIDQ2143027

Christopher Blier-Wong, Hélène Cossette, Étienne Marceau

Publication date: 30 May 2022

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2022.107506

zbMATH Keywords

stochastic representationstochastic simulationdependence orderingmultivariate Bernoulli distributionsmultivariate Farlie-Gumbel-Morgenstern copulas

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

Exchangeable FGM copulas ⋮ Risk aggregation with FGM copulas ⋮ A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions ⋮ Copula modeling from Abe Sklar to the present day ⋮ Unnamed Item

Uses Software

• QRM
• CorBin

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