IDEAS home Printed from https://ideas.repec.org/p/zbw/faucse/612004.html
   My bibliography  Save this paper

Constructing symmetric generalized FGM copulas by means of certain univariate distributions

Author

Listed:
  • Fischer, Matthias J.
  • Klein, Ingo

Abstract

In this paper we focus on symmetric generalized Fairlie-Gumbel-Morgenstern (or symmetric Sarmanov) copulas which are characterized by means of so-called generator functions. In particular, we introduce a class of generator functions which is based on univariate distributions with certain properties. Some of the generator functions from the literature are recovered. Moreover two new generators are suggested, implying two new copulas. Finally, the opposite way around, it is exemplarily shown how to calculate the univariate distribution which belongs to a given copula generator function.

Suggested Citation

  • Fischer, Matthias J. & Klein, Ingo, 2004. "Constructing symmetric generalized FGM copulas by means of certain univariate distributions," Discussion Papers 61/2004, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    • Handle: RePEc:zbw:faucse:612004
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/29602/1/614045886.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Lai, C. D. & Xie, M., 2000. "A new family of positive quadrant dependent bivariate distributions," Statistics & Probability Letters, Elsevier, vol. 46(4), pages 359-364, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arjun Gupta & Johanna Orozco-Castañeda & Daya Nagar, 2011. "Non-central bivariate beta distribution," Statistical Papers, Springer, vol. 52(1), pages 139-152, February.
    2. I. Bairamov & S. Kotz & M. Bekci, 2001. "New generalized Farlie-Gumbel-Morgenstern distributions and concomitants of order statistics," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(5), pages 521-536.
    3. Mao, Tiantian & Yang, Fan, 2015. "Risk concentration based on Expectiles for extreme risks under FGM copula," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 429-439.
    4. Bairamov, I. & Bayramoglu, K., 2013. "From the Huang–Kotz FGM distribution to Baker’s bivariate distribution," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 106-115.
    5. Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2012. "A copula-based analysis of false discovery rate control under dependence assumptions," Economics & Statistics Discussion Papers esdp12065, University of Molise, Department of Economics.
    6. Cuadras, Carles M. & Cuadras, Daniel, 2008. "Eigenanalysis on a bivariate covariance kernel," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2497-2507, November.
    7. Hakim Bekrizadeh & Babak Jamshidi, 2017. "A new class of bivariate copulas: dependence measures and properties," METRON, Springer;Sapienza Università di Roma, vol. 75(1), pages 31-50, April.
    8. Lin, G.D. & Huang, J.S., 2010. "A note on the maximum correlation for Baker's bivariate distributions with fixed marginals," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2227-2233, October.
    9. Werner Hürlimann, 2017. "A comprehensive extension of the FGM copula," Statistical Papers, Springer, vol. 58(2), pages 373-392, June.
    10. Rodríguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2004. "A new class of bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 315-325, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:faucse:612004. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/vierlde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.