Title : ( Aspects of Dependence in Generalized Farlie-Gumbel-Morgenstern Distributions )
Authors: Mohammad Amini , Hadi Jabbari Nooghabi , Gholam Reza Mohtashami Borzadaran ,
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Abstract
In this paper, we have obtained a dependence measure for generalized Farlie-Gumbel-Morgenstern (FGM) family in view of Kochar and Gupta (1987) and then compared this measure with Spearman\\\\\\\'s rho and Kendall\\\\\\\'s tau in FGM family. Moreover, we have evaluated the empirical power of the class of distribution-free tests proposed by Kochar and Gupta (1987, 1990) based on exact distribution of a $U$-statistics. This is derived via a simulation study for sample of sizes $n=6$, $8$, $10$, $12$, $16$ and $20$. Also, we have compared our simulation results with those achieved by Amini {\\\\\\\\it et al.} (2010) and G$\\\\\\\\ddot{u}$ven and Kotz (2008).
Keywords
, Negative and Positive Quadrant Dependence, Farlie-Gumbel-Morgenstern Family, U-Statistics, Copula Functions
@article{paperid:1020100,
author = {Amini, Mohammad and Jabbari Nooghabi, Hadi and Mohtashami Borzadaran, Gholam Reza},
title = {Aspects of Dependence in Generalized Farlie-Gumbel-Morgenstern Distributions},
journal = {Communications in Statistics Part B: Simulation and Computation},
year = {2011},
volume = {40},
number = {8},
month = {July},
issn = {0361-0918},
pages = {1192--1205},
numpages = {13},
keywords = {Negative and Positive Quadrant Dependence; Farlie-Gumbel-Morgenstern Family; U-Statistics; Copula Functions},
}
%0 Journal Article
%T Aspects of Dependence in Generalized Farlie-Gumbel-Morgenstern Distributions
%A Amini, Mohammad
%A Jabbari Nooghabi, Hadi
%A Mohtashami Borzadaran, Gholam Reza
%J Communications in Statistics Part B: Simulation and Computation
%@ 0361-0918
%D 2011
