A Compound Positively Dependent Farlie-Gumbel-Morgenstern Bivariate Copula

Year 2022, Volume: 14 Issue: 1, 11 - 16, 31.07.2022

Selim Orhun Susam

Abstract

In this study, we propose a two parameter Farlie-Gumbel-Morgenstern (FGM) copula that maintains membership in the family in a way while adding the extra dependence parameter to the model by using the compound method. Also, we assess the performance of the new compound FGM copula among all the most used two-parameter families of FGM copulas. The new copula performs best for the real data having moderate dependence structure.

Keywords

Copula, compound disribution, fgm copula

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