Extensions of Farlie-Gumbel-Morgenstern distributions: A review

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. In practical applications this copula has been shown to be somewhat limited. We review several extensions of this family.

Domaines: Méthodologie [stat.ME]

Emil Stoica. Extensions of Farlie-Gumbel-Morgenstern distributions: A review. 2013. ⟨hal-00864676v2⟩