On a general class of gamma based copulas

Arnold Barry C. () and Arvanitis Matthew ()
Additional contact information
Arnold Barry C.: Department of Statistics, University of California, Riverside, USA
Arvanitis Matthew: USDA Forest Products Laboratory, Madison, Wisconsin, USA

Dependence Modeling, 2021, vol. 9, issue 1, 374-384

Abstract: A large family of copulas with gamma components is examined, and interesting submodels are defined and analyzed. Parameter estimation is demonstrated for some of these submodels. A brief discussion of higher-dimensional versions is included.

Keywords: copula; gamma components; bivariate beta; tail dependence; likelihood-free estimation; approximate Bayesian computation (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/demo-2021-0117 (text/html)

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:vrs:demode:v:9:y:2021:i:1:p:374-384:n:3

DOI: 10.1515/demo-2021-0117

Access Statistics for this article

Dependence Modeling is currently edited by Giovanni Puccetti

More articles in Dependence Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().