On a general class of gamma based copulas

Dependence Modeling

Arnold Barry C.¹  Arvanitis Matthew² 

[1] Department of Statistics, University of California, Riverside, USA;USDA Forest Products Laboratory, Madison, Wisconsin, USA;

关键词: copula;    gamma components;    bivariate beta;    tail dependence;    likelihood-free estimation;    approximate bayesian computation;    62h05;    62e10;   

DOI  :  10.1515/demo-2021-0117

来源: DOAJ

【 摘 要 】

A large family of copulas with gamma components is examined, and interesting submodels are defined and analyzed. Parameter estimation is demonstrated for some of these submodels. A brief discussion of higher-dimensional versions is included.

【 授权许可】

Unknown