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1 Stefan Odobleja Academy of Cybernetics

Abstract : A copula is a function that completely describes the dependence structure between the marginal distributions. One of the most important para-metric family of copulas is the Farlie-Gumbel-Morgenstern FGM family. In practical applications this copula has been shown to be somewhat limited. We propose a new extension of this family based on the introduction of an univariate function.





Autor: Emil Stoica -

Fuente: https://hal.archives-ouvertes.fr/



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