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Pré-Publication, Document De Travail Année : 2018

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.
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Dates et versions

hal-01781307 , version 1 (30-04-2018)

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  • HAL Id : hal-01781307 , version 1

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Emil Stoica. Using rotations to build non symmetric extensions of Amblard-Girard copulas. 2018. ⟨hal-01781307⟩
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