Various measures of dependence of a new asymmetric generalized Farlie–Gumbel–Morgenstern copulas

A. K. Pathak and P. Vellaisamy

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 18, 5299-5317

Abstract: In this paper, we discuss an asymmetric extension of Farlie–Gumbel–Morgenstern copulas studied by several authors and obtain the range of the parameter. We derive an expression for regression function and the properties of these copulas are studied in detail. Also, explicit expressions for various measures of association are obtained. These measures are numerically compared for some particular parametric values of the copulas.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2014.942428 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:45:y:2016:i:18:p:5299-5317

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2014.942428

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().