Nikoloulopoulos, Aristidis K. ORCID: https://orcid.org/0000-0003-0853-0084 (2022) The bivariate K-finite normal mixture 'blanket' copula. Journal of Statistical Computation and Simulation, 92 (6). pp. 1224-1245. ISSN 0094-9655
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Abstract
There exist many bivariate parametric copulas to model bivariate data with different dependence features. We propose a new bivariate parametric copula family that cannot only handle various dependence patterns that appear in the existing parametric bivariate copula families, but also provides a more enriched dependence structure. The proposed copula construction exploits finite mixtures of bivariate normal distributions. The mixing operation, the distinct correlation and mean parameters at each mixture component introduce quite a flexible dependence. The new parametric copula is theoretically investigated, compared with a set of classical bivariate parametric copulas and illustrated on two empirical examples from astrophysics and agriculture where some of the variables have peculiar and asymmetric dependence, respectively.
Item Type: | Article |
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Uncontrolled Keywords: | bivariate copulas,kullback–leibler distance,dependence structure,mixtures of bivariate normal distributions,statistics and probability,modelling and simulation,statistics, probability and uncertainty,applied mathematics,3* ,/dk/atira/pure/subjectarea/asjc/2600/2613 |
Faculty \ School: | Faculty of Science > School of Computing Sciences |
UEA Research Groups: | Faculty of Science > Research Groups > Data Science and AI Faculty of Science > Research Groups > Statistics (former - to 2024) Faculty of Science > Research Groups > Numerical Simulation, Statistics & Data Science |
Related URLs: | |
Depositing User: | LivePure Connector |
Date Deposited: | 06 Oct 2021 01:59 |
Last Modified: | 07 Nov 2024 12:44 |
URI: | https://ueaeprints.uea.ac.uk/id/eprint/81565 |
DOI: | 10.1080/00949655.2021.1990292 |
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