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Generalized bivariate copulas and their properties
- Authors
- Kim, J.-M.; Sungur, E.A.; Choi, T.; Heo, T.-Y.
- Issue Date
- 2011
- Keywords
- Bivariate copulas; Directional dependence; Farlie-Gumbel-Morgenstern copula; Kendall' s τ; Marginal distribution; Regression function; Spearman' s ρ
- Citation
- Model Assisted Statistics and Applications, v.6, no.2, pp.127 - 136
- Indexed
- SCOPUS
- Journal Title
- Model Assisted Statistics and Applications
- Volume
- 6
- Number
- 2
- Start Page
- 127
- End Page
- 136
- ISSN
- 1574-1699
- Abstract
- Copulas are useful devices to explain the dependence structure among variables by eliminating the influence of marginals. In this paper, we propose a new class of bivariate copulas to quantify dependency and incorporate it into various iterated copula families. We investigate properties of the new class of bivariate copulas and derive the measure of association, such as Spearman's ρ, Kendall's τ, and the regression function for the new class. We also provide the concept of directional dependence in bivariate regression setting by using copulas. © 2011 - IOS Press and the authors. All rights reserved.
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Related Researcher
- Choi, Tae ryon
- College of Political Science & Economics (Department of Statistics)