FGM generated archimedean copulas with concave multiplicative generators

IF 1.9 4区数学 Q1 MATHEMATICS

Iranian Journal of Fuzzy Systems Pub Date : 2021-04-01 DOI:10.22111/IJFS.2021.5911

N. Doodman, M. Amini, H. Jabbari, A. Dolati

引用次数: 0

Abstract

The Farlie-Gumble-Morgenstren (FGM) family and archimedean family are the most popular parametric families of copulas. In the present paper, we propose an extension of archimedean copulas with concave multiplicative generators in the style of FGM family. In particular, our method allows the modelling of higher positive dependence than the other FGM extensions in the literature. The construction and characteristics of the proposed model along with some examples of parametric subfamilies are provided. A numerical study is used to illustrate the methodology.

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FGM用凹乘生成器生成阿基米德联结

法利-甘布尔-摩根斯特伦(FGM)族和阿基米德族是最常用的参数族。在本文中，我们提出了具有凹乘生的阿基米德copuls在FGM族中的推广。特别是，我们的方法允许比文献中其他女性生殖器切割扩展更高的正依赖性建模。给出了该模型的构造和特征，并给出了参数子族的一些例子。用数值研究来说明该方法。

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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来源期刊

Iranian Journal of Fuzzy Systems 数学-数学

CiteScore

3.50

自引率

16.70%

发文量

期刊介绍： The two-monthly Iranian Journal of Fuzzy Systems (IJFS) aims to provide an international forum for refereed original research works in the theory and applications of fuzzy sets and systems in the areas of foundations, pure mathematics, artificial intelligence, control, robotics, data analysis, data mining, decision making, finance and management, information systems, operations research, pattern recognition and image processing, soft computing and uncertainty modeling. Manuscripts submitted to the IJFS must be original unpublished work and should not be in consideration for publication elsewhere.