FGM generated archimedean copulas with concave multiplicative generators

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Doodman n.; AMINI M.; JABBARI H.; DOLATI A.

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ISSN: 2588-4824

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Paper Information

Journal: Iranian Journal of Fuzzy Systems Year:2021 | Volume:18 | Issue:2 Page(s): 15-29

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Title

FGM generated archimedean copulas with concave multiplicative generators

Author(s)

Doodman n. | AMINI M. | JABBARI H. | DOLATI A. | Issue Writer Certificate

Keywords

Archimedean copulasQ2

FGM familyQ2

dependenceQ2

dependence measuresQ2

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.

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APA: Copy

Doodman, n., AMINI, M., JABBARI, H., & DOLATI, A.. (2021). FGM generated archimedean copulas with concave multiplicative generators. IRANIAN JOURNAL OF FUZZY SYSTEMS, 18(2 ), 15-29. SID. https://sid.ir/paper/413835/en

Vancouver: Copy

Doodman n., AMINI M., JABBARI H., DOLATI A.. FGM generated archimedean copulas with concave multiplicative generators. IRANIAN JOURNAL OF FUZZY SYSTEMS[Internet]. 2021;18(2 ):15-29. Available from: https://sid.ir/paper/413835/en

IEEE: Copy

n. Doodman, M. AMINI, H. JABBARI, and A. DOLATI, “FGM generated archimedean copulas with concave multiplicative generators,” IRANIAN JOURNAL OF FUZZY SYSTEMS, vol. 18, no. 2 , pp. 15–29, 2021, [Online]. Available: https://sid.ir/paper/413835/en

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