Brazilian Journal of Probability and Statistics

A large class of new bivariate copulas and their properties

Zahra Sharifonnasabi, Mohammad Hossein Alamatsaz, and Iraj Kazemi

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In this paper, we shall construct a large class of new bivariate copulas. This class happens to contain several known classes of copulas, such as Farlie–Gumbel–Morgenstern, Ali–Mikhail–Haq and Barnett–Gumbel, as its especial members. It is shown that the proposed copulas improve the range of values of correlation coefficient and thus they are more applicable in data modeling. We shall also reveal that the dependent properties of the base copula are preserved by the generated copula under certain conditions. Several members of the new class are introduced as instances and their range of correlation coefficients are computed.

Article information

Braz. J. Probab. Stat., Volume 32, Number 3 (2018), 497-524.

Received: June 2015
Accepted: January 2017
First available in Project Euclid: 8 June 2018

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Zentralblatt MATH identifier

FGM copulas stochastic dependence tail dependence Spearman’s $\rho$


Sharifonnasabi, Zahra; Alamatsaz, Mohammad Hossein; Kazemi, Iraj. A large class of new bivariate copulas and their properties. Braz. J. Probab. Stat. 32 (2018), no. 3, 497--524. doi:10.1214/17-BJPS351.

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