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Pré-Publication, Document De Travail Année : 2018

Survival 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. The goal of this note is to prove that the survival copula associated with an Amblard-Girard copula still is an Amblard-Girard copula.
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Dates et versions

hal-01781311 , version 1 (30-04-2018)

Identifiants

  • HAL Id : hal-01781311 , version 1

Citer

Emil Stoica. Survival Amblard-Girard copulas. 2018. ⟨hal-01781311⟩
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