Exploring a new two-parameter Archimedean copula: the Gumbel-Joe copula

Year 2024, Volume: 53 Issue: 6, 1742 - 1758, 28.12.2024

Christophe Chesneau , Weaam Alhadlaq

https://doi.org/10.15672/hujms.1444175

Abstract

In this article, we present a novel Archimedean copula constructed from a unique strict generator function. It can be described as a two-parameter unification of the well-established Gumbel-Barnett and Joe copulas. The first part is devoted to its formulation, as well as those of the corresponding density, the conditional copula, and the Kendall distribution function. Graphs are also included to illustrate their shape behavior under different parameter configurations. In a second part, we examine some of its notable properties, with emphasis on the correlation properties. Practical applications are discussed in the final part. In particular, we use the maximum likelihood estimation method to determine the unknown parameters involved from the data and perform a simulation study to demonstrate the effectiveness of this approach. We also analyze a dataset to provide practical illustrations of copula behavior and potential.

Keywords

Copula, symmetry, correlation, statistical modelling, Gumbel-Barnett copula, Joe copula

Supporting Institution

King Saud University

Project Number

RSPD2024R1011

Thanks

This research was funded by Researchers Supporting Project number (RSPD2024R1011), King Saud University, Riyadh, Saudi Arabia.

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