A study of the power-cosine copula

C. Chesneau
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引用次数: 4

Abstract

Copulas played a key role in numerous areas of statistics over the last few decades. In this paper, we offer a new kind of trigonometric bivariate copula based on power and cosine functions. We present it via analytical and graphical approaches. We show that it may be used to create a new bivariate normal distribution with interesting shapes. Subsequently, the simplest version of the suggested copula is highlighted. We discuss some of its relationships with the Farlie-Gumbel-Morgensten and simple polynomial-sine copulas, establish that it is a member of a well-known semi-parametric family of copulas, investigate its dependence domains, and show that it has no tail dependence.
幂余弦共轭的研究
在过去的几十年里,copula在许多统计领域发挥了关键作用。本文给出了一种新的基于幂函数和余弦函数的三角二元联结公式。我们通过分析和图形的方法来呈现它。我们证明了它可以用来创建一个具有有趣形状的新的二元正态分布。随后,将突出显示建议的联结的最简单版本。我们讨论了它与Farlie-Gumbel-Morgensten和简单多项式-正弦copula的一些关系,建立了它是已知的半参数copula族的成员,研究了它的相关域,并证明了它没有尾相关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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发文量
10
审稿时长
8 weeks
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