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A new bivariate extension of FGM copulas

Cécile Amblard 1 Stéphane Girard 2
1 TIMB
TIMC-IMAG - Techniques de l'Ingénierie Médicale et de la Complexité - Informatique, Mathématiques et Applications, Grenoble - UMR 5525
2 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology
Abstract : We propose a new family of copulas generalizing the Farlie-Gumbel-Morgenstern (FGM) family and generated by two univariate functions. The main feature of this family is two permit the modeling of high positive dependence. In particular, it is established that the correlation range is [-3/4,1] and that the upper tail dependence coefficient can reach any value in [0,1]. Some examples of parametric subfamilies are provided.
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https://hal.inria.fr/inria-00134433
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Submitted on : Friday, February 8, 2008 - 9:55:02 AM
Last modification on : Thursday, January 20, 2022 - 5:28:04 PM
Long-term archiving on: : Tuesday, September 21, 2010 - 3:58:18 PM

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Cécile Amblard, Stéphane Girard. A new bivariate extension of FGM copulas. Metrika, Springer Verlag, 2009, 70 (1), pp.1-17. ⟨10.1007/s00184-008-0174-7⟩. ⟨inria-00134433v2⟩

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