A New Modified Farlie-Gumbel-Morgenstern Copula
Ferhan Baş Kaman1*, Hülya Olmuş2
1Department of Banking and Finance, Graduate School of Social Sciences, Yıldırım Beyazıt University , Ankara, Turkey
2Department of Statistics, Graduate School of Natural and Applied Sciences, Gazi University , Ankara, Turkey
* Corresponding author: basferhan@gmail.com
Presented at the Ist International Symposium on Innovative Approaches in Scientific Studies (ISAS 2018), Kemer-Antalya, Turkey, Apr 11, 2018
SETSCI Conference Proceedings, 2018, 2, Page (s): 137-137 , https://doi.org/
Published Date: 23 June 2018 |
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Abstract
Copulas are the special functions obtained with a combination of functions. Therefore, appropriate conversions can be made to create new copulas or to improve the existing copulas. Many researchers have recently aimed to obtain variables with higher correlation by improving the existing copulas or constructing new copulas. In this study, a new copula which has negative quadrant dependency has been introduced. A new form of FarlieGumbel-Morgenstern (FGM) copula is obtained by applying FGM copula. Kendall’s T and Spearman’s p values for the new form of FGM copula has been obtained to have larger bounds on the negative side. The data set is simulated from FGM copula and the new form of FGM copula. Then, dependency structure is analyzed with scatter plot of data obtained from copulas.
Keywords - FGM copula, new form of FGM, negative quadrant dependency
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