A new class of copulas having dependence range larger than FGM-type copulas

Autor:	Zachariah, Swaroop Georgy, Arshad, Mohd., Pathak, Ashok Kumar
Rok vydání:	2023
Předmět:	Mathematics - Statistics Theory 62H05 62H10
Zdroj:	Statistics & Probability Letters, Volume 206 , March 2024, 109988
Druh dokumentu:	Working Paper
DOI:	10.1016/j.spl.2023.109988
Popis:	We propose a new bivariate symmetric copula with positive and negative dependence properties. The main features of the proposed copula are its simple mathematical structure, wider dependence range compared to FGM copula and its generalizations, and no lower and upper tail dependence. The maximum range of Spearman's Rho of the proposed copula is [-0.5866,0.5866], which improves the dependence range of the FGM copula and its various generalizations. A new bivariate Rayleigh distribution is developed using the proposed copula, and some statistical properties have been studied. A real data set is analyzed to illustrate the proposed bivariate distribution's relevance in practical contexts. Comment: 13 pages, 3 figures, 2 tables
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2304.02231 Zobrazit plný text záznamu View this record from Arxiv