Source :
Journal of Statistical Theory and Practice
Descriptors :
FGM copulas; regression , measures of association
Abstract :
In this note, we discuss a generalization of a subclass of the Rodríguez-
Lallena and Úbeda-Flores family of copulas, through order statistics. This
generalized family includes an important class of the Farlie–Gumbel–
Morgenstern (FGM) family of copulas, which are widely used in statistics.
We derive the expressions for regression function and cumulative conditional
expectation function. The explicit expressions for some measures
of dependence like Spearman’s rho,Gini’s gamma coefficient, and
quadrant dependence are discussed. Finally, Spearman’s rho is numerically
tabulated and compared for some generalized families of FGM
copulas.
Title of Article :
A note on generalized Farlie-Gumbel-Morgenstern copulas
Author/Authors :
Pathak, A. K. , Vellaisamy, P.
Author/Authors - جزئيات :
