Bivariate Kumaraswamy Models via Modified FGM Copulas: Properties and Applications

Indranil Ghosh
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Indranil Ghosh: Department of Mathematics and Statistics, University of North Carolina, Wilmington, NC 28403, USA

JRFM, 2017, vol. 10, issue 4, 1-13

Abstract: A copula is a useful tool for constructing bivariate and/or multivariate distributions. In this article, we consider a new modified class of FGM (Farlie–Gumbel–Morgenstern) bivariate copula for constructing several different bivariate Kumaraswamy type copulas and discuss their structural properties, including dependence structures. It is established that construction of bivariate distributions by this method allows for greater flexibility in the values of Spearman’s correlation coefficient, ? and Kendall’s ? .

Keywords: bivariate Kumaraswamy distribution; copula based construction; Kendall’s tau; dependence structures (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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