Using rotations to build non symmetric extensions of Amblard-Girard copulas
Résumé
A copula is a function that completely describes the dependence structure between the marginal distributions. One of the most important para-metric family of copulas is the Farlie-Gumbel-Morgenstern (FGM) family. In practical applications this copula has been shown to be somewhat limited and a symmetric extension of this family, known as the Amblard-Girard copula, has been introduced. Basing on rotations, we propose a new non symmetric extension of this family.
Domaines
Méthodologie [stat.ME]Origine | Fichiers produits par l'(les) auteur(s) |
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