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      A multi-parameter Generalized Farlie-Gumbel-Morgenstern bivariate copula family via Bernstein polynomial

      Hacettepe Journal of Mathematics and Statistics
      Hacettepe University

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          Abstract

          In this paper, we are proposing a flexible method for constructing a bivariate generalized Farlie-Gumbel-Morgenstern (G-FGM) copula family. The method is mainly developed around the function $\phi(t)\((\)t\in [0,1]$), where $\phi\(is the generator of the G-FGM copula. The proposed construction method has useful advantages. The first of which is the direct relationship between the \)\phi$ function and Kendall's tau. The second advantage is the possibility of constructing a multi-parameter G-FGM copula which allows us to better harmonize empirical instruction with the model. The construction method is illustrated by three real data examples.

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          Most cited references15

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          Enjoy the Joy of Copulas: With a Packagecopula

          Jun Yan (2007)
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            Symmetry and dependence properties within a semiparametric family of bivariate copulas

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              Extremes of nonexchangeability

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                Author and article information

                Contributors
                (View ORCID Profile)
                Journal
                Hacettepe Journal of Mathematics and Statistics
                Hacettepe University
                2651-477X
                April 01 2022
                April 01 2022
                : 51
                : 2
                : 618-631
                Article
                10.15672/hujms.993698
                f9f743f9-7f3d-4a7c-85f5-0e9e432c5413
                © 2022
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