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

BAŞ KAMAN F., OLMUŞ H.

JOURNAL OF STATISTICAL THEORY AND APPLICATIONS, cilt.20, sa.2, ss.328-339, 2021 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 20 Sayı: 2
  • Basım Tarihi: 2021
  • Doi Numarası: 10.2991/jsta.d.210407.001
  • Dergi Adı: JOURNAL OF STATISTICAL THEORY AND APPLICATIONS
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
  • Sayfa Sayıları: ss.328-339
  • Anahtar Kelimeler: Mixture copula, Farlie-Gumbel-Morgenstern copula, Negative quadrant, Dependency order statistics, DISTRIBUTIONS
  • Gazi Üniversitesi Adresli: Evet

Özet

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 Ubeda-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. (C) 2021 The Authors. Published by Atlantis Press B.V.