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A new extension of the FGM copula with an application in reliability

Author

Listed:
  • Rasha Ebaid
  • Walid Elbadawy
  • Essam Ahmed
  • Abdalla Abdelghaly

Abstract

We propose a new symmetric extension of the bivariate Farlie-Gumbel-Morgenstern (FGM) copula with given marginals. The main feature of this new extension is the higher dependence level it permits between random variables. It is shown that the range of Spearman’s Rho is [−.33, 0.375]. We use this new extension to estimate reliability in a dependent stress-strength model with an application to the Egyptian finance system.

Suggested Citation

  • Rasha Ebaid & Walid Elbadawy & Essam Ahmed & Abdalla Abdelghaly, 2022. "A new extension of the FGM copula with an application in reliability," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(9), pages 2953-2961, March.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:9:p:2953-2961
    DOI: 10.1080/03610926.2020.1785501
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