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On a general class of gamma based copulas

Author

Listed:
  • Arnold Barry C.

    (Department of Statistics, University of California, Riverside, USA)

  • Arvanitis Matthew

    (USDA Forest Products Laboratory, Madison, Wisconsin, USA)

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.

Suggested Citation

  • Arnold Barry C. & Arvanitis Matthew, 2021. "On a general class of gamma based copulas," Dependence Modeling, De Gruyter, vol. 9(1), pages 374-384, January.
    • Handle: RePEc:vrs:demode:v:9:y:2021:i:1:p:374-384:n:3
    DOI: 10.1515/demo-2021-0117
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    References listed on IDEAS

    as
    1. Magnussen, Steen, 2004. "An algorithm for generating positively correlated Beta-distributed random variables with known marginal distributions and a specified correlation," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 397-406, June.
    2. Arnold, Barry C. & Tony Ng, Hon Keung, 2011. "Flexible bivariate beta distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(8), pages 1194-1202, September.
    3. Olkin, Ingram & Liu, Ruixue, 2003. "A bivariate beta distribution," Statistics & Probability Letters, Elsevier, vol. 62(4), pages 407-412, May.
    4. Ali, Mir M. & Mikhail, N. N. & Haq, M. Safiul, 1978. "A class of bivariate distributions including the bivariate logistic," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 405-412, September.
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