Copula bounds for circular data

DOI10.1007/978-981-99-0803-5_16arXiv2206.10126MaRDI QIDQ6402677FDOQ6402677

Authors: Hiroaki Ogata 

Publication date: 21 June 2022

Abstract: We propose the extension of Fr'{e}chet-Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fr'{e}chet-Hoeffding upper (lower) bound indicates the perfect positive (negative) dependence between two random variables. However, for circular random variables, the usual concept of dependency is not accepted because of their periodicity. In this work, we redefine Fr'{e}chet-Hoeffding bounds and consider modified Fr'{e}chet and Mardia families of copulas for modelling the dependency of two circular random variables. Simulation studies are also given to demonstrate the behavior of the model.

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