A New Modified Farlie-Gumbel-Morgenstern Copula Ferhan Baş Kaman1*, Hülya Olmuş2 1Department of Banking and Finance, Graduate School of Social Sciences, Yıldırım Beyazıt University , Ankara, Turkey 2Department of Statistics, Graduate School of Natural and Applied Sciences, Gazi University , Ankara, Turkey
IEEE F. Baş Kaman, H. Olmuş, "A New Modified Farlie-Gumbel-Morgenstern Copula", SETSCI Conference Proceedings, vol. 2, pp. 137-137, 2018.
BibTeX
@INPROCEEDINGS{citation,
author = {Baş Kaman, Ferhan and Olmuş, Hülya},
title = {A New Modified Farlie-Gumbel-Morgenstern Copula},
year = {2018},
volume = {2},
pages = {137-137},
publisher = {SETSCI Conference Proceedings},
abstract = {Copulas are the special functions obtained with a combination of functions. Therefore, appropriate conversions can be made to create new copulas or to improve the existing copulas. Many researchers have recently aimed to obtain variables with higher correlation by improving the existing copulas or constructing new copulas. In this study, a new copula which has negative quadrant dependency has been introduced. A new form of FarlieGumbel-Morgenstern (FGM) copula is obtained by applying FGM copula. Kendall’s T and Spearman’s p values for the new form of FGM copula has been obtained to have larger bounds on the negative side. The data set is simulated from FGM copula and the new form of FGM copula. Then, dependency structure is analyzed with scatter plot of data obtained from copulas.
},
doi = {},
}
RIS
TY - CONF
AU - Baş Kaman, Ferhan
AU - Olmuş, Hülya
TI - A New Modified Farlie-Gumbel-Morgenstern Copula
PY - 2018
PB - SETSCI Conference Proceedings
VL - 2
AB - Copulas are the special functions obtained with a combination of functions. Therefore, appropriate conversions can be made to create new copulas or to improve the existing copulas. Many researchers have recently aimed to obtain variables with higher correlation by improving the existing copulas or constructing new copulas. In this study, a new copula which has negative quadrant dependency has been introduced. A new form of FarlieGumbel-Morgenstern (FGM) copula is obtained by applying FGM copula. Kendall’s T and Spearman’s p values for the new form of FGM copula has been obtained to have larger bounds on the negative side. The data set is simulated from FGM copula and the new form of FGM copula. Then, dependency structure is analyzed with scatter plot of data obtained from copulas.
DO -
ER -
EndNote
%0 Book
%A Baş Kaman, Ferhan
%A Olmuş, Hülya
%T A New Modified Farlie-Gumbel-Morgenstern Copula
%D 2018
%I {SETSCI Conference Proceedings}
%J {SETSCI Conference Proceedings}
%V 2
%P 137-137
%D 2018
%M doi:
Open Access
A New Modified Farlie-Gumbel-Morgenstern Copula
Ferhan Baş Kaman1*, Hülya Olmuş2 1Department of Banking and Finance, Graduate School of Social Sciences, Yıldırım Beyazıt University , Ankara, Turkey 2Department of Statistics, Graduate School of Natural and Applied Sciences, Gazi University , Ankara, Turkey * Corresponding author: basferhan@gmail.com
Copulas are the special functions obtained with a combination of functions. Therefore, appropriate conversions can be made to create new copulas or to improve the existing copulas. Many researchers have recently aimed to obtain variables with higher correlation by improving the existing copulas or constructing new copulas. In this study, a new copula which has negative quadrant dependency has been introduced. A new form of FarlieGumbel-Morgenstern (FGM) copula is obtained by applying FGM copula. Kendall’s T and Spearman’s p values for the new form of FGM copula has been obtained to have larger bounds on the negative side. The data set is simulated from FGM copula and the new form of FGM copula. Then, dependency structure is analyzed with scatter plot of data obtained from copulas.
Keywords - FGM copula, new form of FGM, negative quadrant dependency
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