Advances and Applications in Statistics
Volume 50, Issue 2, Pages 97 - 106
(February 2017) http://dx.doi.org/10.17654/AS050020097 |
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AN EXTENSION OF THE CUADRAS COPULA
Abdalla Abdelghaly, Essam Ahmed, Rasha Ebaid and Walid Elbadawy
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Abstract: One of the main problems in high-dimensional statistics is modeling the dependence structure between the associated variables, and constructing a multivariate distribution function. Copulas were introduced by Sklar in [11] for answering these questions; providing measures of dependence and describing the relationship between a multivariate distribution and its marginals. There are many copulas introduced in the literature, among which is the Cuadras copula introduced by Cuadras in 2009. In this paper, we propose an extension of the Cuadras copula that allows for an increased level of dependence structure between the associated variables. Properties of the new extended copula are discussed with an example illustrating our findings. |
Keywords and phrases: copula, dependence structure, Spearman’s rho, Cuadras copula, exponential distribution. |
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