Index-mixed copulas
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Publication:6440693
arXiv2306.10663MaRDI QIDQ6440693FDOQ6440693
Authors: Klaus Herrmann, Marius Hofert, Nahid Sadr 
Publication date: 18 June 2023
Abstract: Motivated by the construction of the often analytically tractable Farlie-Gumbel-Morgenstern (FGM) copula family, we introduce index-mixed copulas. In contrast to FGM copulas, index-mixed copulas allow one to model the full range of concordance as well as to model lower or upper tail dependence, while still retaining the analytical tractability of FGM copulas. Also, index-mixed copulas are straightforward to simulate from. The construction principle and its properties are easily comprehensible and allow for more flexibility in modeling realistic dependencies in applications than the limited FGM copula family can provide.
Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Multivariate analysis (62H99) Measures of association (correlation, canonical correlation, etc.) (62H20) Multivariate analysis and fuzziness (62H86) Exchangeability for stochastic processes (60G09)
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