Convex sums of Farlie-Gumbel-Morgenstern distributions

Emil Stoica (1)

1 Stefan Odobleja Academy of Cybernetics

A copula is a function that completely describes the dependence structure between the marginal distributions. One of the most important parametric family of copulas is the Farlie-Gumbel-Morgenstern (FGM) family. We establish a stability property of the FGM copula with respect to convex sums.

Domaines: Théorie [stat.TH]

Emil Stoica. Convex sums of Farlie-Gumbel-Morgenstern distributions. 2013. ⟨hal-00862992⟩