A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions

Copula modeling from Abe Sklar to the present day

C Genest, O Okhrin, T Bodnar - Journal of Multivariate Analysis, 2024 - Elsevier
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被引用次数：4 相关文章 所有 2 个版本
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Generalized FGM dependence: Geometrical representation and convex bounds on sums

H Cossette, E Marceau, A Mutti, P Semeraro - arXiv preprint arXiv …, 2024 - arxiv.org
Building on the one-to-one relationship between generalized FGM copulas and multivariate
Bernoulli distributions, we prove that the class of multivariate distributions with generalized …
相关文章 所有 2 个版本
[PDF] arxiv.org

Index-mixed copulas

K Herrmann, M Hofert, N Sadr - arXiv preprint arXiv:2306.10663, 2023 - arxiv.org
Motivated by the construction of the often analytically tractable Farlie-Gumbel-Morgenstern
(FGM) copula family, we introduce index-mixed copulas. In contrast to FGM copulas, index …
相关文章 所有 2 个版本