Copula Bounds for Circular Data

Hiroaki Ogata ()
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Hiroaki Ogata: Tokyo Metropolitan University

Chapter Chapter 16 in Research Papers in Statistical Inference for Time Series and Related Models, 2023, pp 389-402 from Springer

Abstract: Abstract We propose an extension of the Fréchet–Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fréchet–Hoeffding upper (lower) bound indicates the perfect positive (negative) dependence between two random variables. However, for circular random variables, the usual concept of dependency may not be accepted because of their periodicity. In this paper, we redefine the Fréchet–Hoeffding bounds and consider modified Fréchet and Mardia families of copulas for modelling the dependency of two circular random variables. Simulation studies are also given to demonstrate the behaviour of the model.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-99-0803-5_16

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DOI: 10.1007/978-981-99-0803-5_16

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