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A new extension of bivariate FGM copulas

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Abstract

We propose a new family of copulas generalizing the Farlie–Gumbel–Morgenstern family and generated by two univariate functions. The main feature of this family is to permit the modeling of high positive dependence. In particular, it is established that the range of the Spearman’s Rho is [ − 3/4,1] and that the upper tail dependence coefficient can reach any value in [0,1]. Necessary and sufficient conditions are given on the generating functions in order to obtain various dependence properties. Some examples of parametric subfamilies are provided.

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Authors and Affiliations

  1. Institut de l’Ingénierie de l’Information de Santé, TIMC - TIMB, Faculté de Médecine, Pav. D, 38706, La Tronche Cedex, France

    Cécile Amblard

  2. INRIA Rhône-Alpes, team Mistis, 655, avenue de l’Europe, Montbonnot, 38334, Saint-Ismier Cedex, France

    Stéphane Girard

Authors
  1. Cécile Amblard
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  2. Stéphane Girard
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Correspondence to Stéphane Girard.

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Amblard, C., Girard, S. A new extension of bivariate FGM copulas. Metrika 70, 1–17 (2009). https://doi.org/10.1007/s00184-008-0174-7

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  • DOI: https://doi.org/10.1007/s00184-008-0174-7

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