A New Form of Farlie-Gumbel-Morgenstern Copula: A Comparative Simulation Study and Application

Authors

Ferhan Baş Kaman^{1, *,} , Hülya Olmuş²

¹Department of Finance and Banking, Şereflikoçhisar Faculty of Applied Science, Yıldırım Beyazıt University, Ankara, 06650, Turkey

²Department of Statistics, Faculty of Science, Gazi University, Ankara, 06400, Turkey

^*Corresponding author. Email: fbaskaman@ybu.edu.tr

DOI

10.2991/jsta.d.210407.001How to use a DOI?

Keywords

Mixture copula; Farlie-Gumbel-Morgenstern copula; Negative quadrant; Dependency order statistics

Abstract

In this study a new mixture copula has been obtained by creating a linear combination of product copula with copula which is obtained with marginal distributions of order statistics which was proposed by Dolati and Úbeda-Flores, Kybernetika. 45 (2009), 992–1002. In addition, a new form of Farlie-Gumbel-Morgenstern copula is obtained by applying Farlie-Gumbel-Morgenstern copula to new mixture copula. The new form of the Farlie-Gumbel-Morgenstern copula has been compared to Farlie-Gumbel-Morgenstern, Gaussian and Frank copulas. To find the best-fit copula, Akaike information criterion and Bayesian information criterion are used.

Copyright

© 2021 The Authors. Published by Atlantis Press B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - JOUR
AU  - Ferhan Baş Kaman
AU  - Hülya Olmuş
PY  - 2021
DA  - 2021/04/13
TI  - A New Form of Farlie-Gumbel-Morgenstern Copula: A Comparative Simulation Study and Application
JO  - Journal of Statistical Theory and Applications
SP  - 328
EP  - 339
VL  - 20
IS  - 2
SN  - 2214-1766
UR  - https://doi.org/10.2991/jsta.d.210407.001
DO  - 10.2991/jsta.d.210407.001
ID  - Kaman2021
ER  -