Title : ( FGM Generated Archimedean Copulas with Concave Multiplicative Generatorss )
Authors: neda doodman , Mohammad Amini , Hadi Jabbari Nooghabi , Ali Dolati ,
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Abstract
The Farlie-Gumble-Morgenstren (FGM) family and Archimedean family are the most popular parametric families of copulas. In the present paper, we propose an extension of Archimedean copulas with concave multiplicative generators in the style of FGM family. In particular, our method allows the modelling of higher positive dependence than the other FGM extensions in the literature. The construction and characteristics of the proposed model along with some examples of parametric subfamilies are provided. A numerical study is used to illustrate the methodology.
Keywords
, Archimedean copulas, FGM family, dependence, dependence measures.
@article{paperid:1082535,
author = {Doodman, Neda and Amini, Mohammad and Jabbari Nooghabi, Hadi and Ali Dolati},
title = {FGM Generated Archimedean Copulas with Concave Multiplicative Generatorss},
journal = {Iranian Journal of Fuzzy Systems},
year = {2021},
volume = {18},
number = {2},
month = {January},
issn = {1735-0654},
pages = {15--29},
numpages = {14},
keywords = {Archimedean copulas; FGM family; dependence; dependence measures.},
}
%0 Journal Article
%T FGM Generated Archimedean Copulas with Concave Multiplicative Generatorss
%A Doodman, Neda
%A Amini, Mohammad
%A Jabbari Nooghabi, Hadi
%A Ali Dolati
%J Iranian Journal of Fuzzy Systems
%@ 1735-0654
%D 2021
