A New Form of Farlie-Gumbel-Morgenstern Copula: A Comparative Simulation Study and Application

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Baş Kaman F. , Olmuş H.

Journal Of Statistical Theory and Applications, vol.20, no.2, pp.328-339, 2021 (Journal Indexed in ESCI)

  • Publication Type: Article / Article
  • Volume: 20 Issue: 2
  • Publication Date: 2021
  • Doi Number: 10.2991/jsta.d.210407.001
  • Title of Journal : Journal Of Statistical Theory and Applications
  • Page Numbers: pp.328-339

Abstract

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.