Generalized Farlie-Gumbel-Morgenstern Copulas View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2018-05-18

AUTHORS

Anna Kolesárová , Radko Mesiar , Susanne Saminger-Platz

ABSTRACT

The Farlie-Gumbel-Morgenstern copulas are related to the independence copula Π and can be seen as perturbations of Π. Based on quadratic constructions of copulas, we provide a new look at them. Starting from any 2-dimensional copula and an appropriate real function, we introduce new parametric families of copulas which in the case of the independence copula Π coincide with the Farlie-Gumbel-Morgenstern family. Using the proposed approach, we also obtain as a particular case a subclass of the Fréchet family of copulas containing all three basic copulas W,Π and M, i.e. a comprehensive family of copulas. Finally, based on an iterative approach, we introduce copula families Crr∈[-∞,∞] complete w.r.t. dependence parameters, resulting in the case of the independence copula and parameters r∈[-1,1] in the Farlie-Gumbel-Morgenstern family. More... »

PAGES

244-252

References to SciGraph publications

Book

TITLE

Information Processing and Management of Uncertainty in Knowledge-Based Systems. Theory and Foundations

ISBN

978-3-319-91472-5
978-3-319-91473-2

From Grant

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-319-91473-2_21

DOI

http://dx.doi.org/10.1007/978-3-319-91473-2_21

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1104043099


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