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Flexible Generators for Generalized FGM Copulas
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Mohammad hossein Aalamatsaz *   , Foroogh Mahpishanian |
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Abstract: (14348 Views) |
| There is a family of generalized Farlie-Gumbel-Morgenstern copulas, known as the semiparametric family, which is generated by a function called distribution-based generator. These generators have been studied typically for symmetric distributions in the literature. In this article, is proposed a method for asymmetric case which increases the flexibility of distribution-based generators and, thus, the model. In addition, a method for generalizing general generators is provided which can also be used to obtain more flexible distribution-based generators. Clearly, with more flexible generators more desirable models can be found to fit real data. |
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| Keywords: Asymmetric generator, Density quantile, Semiparametric family, distribution-based generator, Score function. |
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Full-Text [PDF 438 kb]
(3183 Downloads)
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Type of Study: Research |
Subject:
Probabilty and Applications
Received: 2012/02/3 | Accepted: 2013/05/14 | Published: 2013/05/14
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