A New Form of Farlie-Gumbel-Morgenstern Copula: A Comparative Simulation Study and Application
Journal of Statistical Theory and Applications, cilt.20, sa.2, ss.328-339, 2021 (ESCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 20 Sayı: 2
- Basım Tarihi: 2021
- Doi Numarası: 10.2991/jsta.d.210407.001
- Dergi Adı: Journal of Statistical Theory and Applications
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
- Sayfa Sayıları: ss.328-339
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Ankara Yıldırım Beyazıt Üniversitesi Adresli: Evet
Özet
In this study a new mixture copula has been obtained by creating a linear combination of product copula with copula which is
obtained with marginal distributions of order statistics which was proposed by Dolati and Úbeda-Flores, Kybernetika. 45 (2009),
992–1002. In addition, a new form of Farlie-Gumbel-Morgenstern copula is obtained by applying Farlie-Gumbel-Morgenstern
copula to new mixture copula. The new form of the Farlie-Gumbel-Morgenstern copula has been compared to Farlie-GumbelMorgenstern, Gaussian and Frank copulas. To find the best-fit copula, Akaike information criterion and Bayesian information
criterion are used.