Arbeitspapier
Constructing symmetric generalized FGM copulas by means of certain univariate distributions
In this paper we focus on symmetric generalized Fairlie-Gumbel-Morgenstern (or symmetric Sarmanov) copulas which are characterized by means of so-called generator functions. In particular, we introduce a class of generator functions which is based on univariate distributions with certain properties. Some of the generator functions from the literature are recovered. Moreover two new generators are suggested, implying two new copulas. Finally, the opposite way around, it is exemplarily shown how to calculate the univariate distribution which belongs to a given copula generator function.
- Language
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Englisch
- Bibliographic citation
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Series: Diskussionspapier ; No. 61/2004
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Fischer, Matthias J.
Klein, Ingo
- Event
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Veröffentlichung
- (who)
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Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
- (where)
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Nürnberg
- (when)
-
2004
- Handle
- Last update
-
01.03.2025, 11:24 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fischer, Matthias J.
- Klein, Ingo
- Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
Time of origin
- 2004
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