Volume 20, Issue 2, June 2021, Pages 328 - 339
A New Form of Farlie-Gumbel-Morgenstern Copula: A Comparative Simulation Study and Application
Ferhan Baş Kaman1, *, , 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: firstname.lastname@example.org
Ferhan Baş Kaman
Received 24 January 2019, Accepted 10 February 2020, Available Online 13 April 2021.
- 10.2991/jsta.d.210407.001How to use a DOI?
- Mixture copula; Farlie-Gumbel-Morgenstern copula; Negative quadrant; Dependency order statistics
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.
- © 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 -