- Hacettepe Journal of Mathematics and Statistics
- Vol: 51 Issue: 2
- A multi-parameter Generalized Farlie-Gumbel-Morgenstern bivariate copula family via Bernstein polyno...
A multi-parameter Generalized Farlie-Gumbel-Morgenstern bivariate copula family via Bernstein polynomial
Authors : Selim Orhun Susam
Pages : 618-631
Doi:10.15672/hujms.993698
View : 13 | Download : 5
Publication Date : 2022-04-01
Article Type : Research
Abstract :In this paper, we are proposing a flexible method for constructing a bivariate generalized Farlie-Gumbel-Morgenstern (G-FGM) copula family. The method is mainly developed around the function $\phi(t)$ ($t\in [0,1]$), where $\phi$ is the generator of the G-FGM copula. The proposed construction method has useful advantages. The first of which is the direct relationship between the $\phi$ function and Kendall's tau. The second advantage is the possibility of constructing a multi-parameter G-FGM copula which allows us to better harmonize empirical instruction with the model. The construction method is illustrated by three real data examples.Keywords : Bernstein polynomial, Copula, Kendall, FGM copula