Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147903 | Journal of Statistical Planning and Inference | 2009 | 7 Pages |
Abstract
The weighted arithmetic mean of two copulas is a copula. In some cases, geometric and harmonic means also provide copulas. There are copulas specially appropriate to be combined by using weighted geometric means. With this method of construction we combine Farlie–Gumbel–Morgentern and Ali–Mikhail–Haq copulas to obtain families of copulas which can be expressed in terms of double power series. The Gumbel–Barnett copula is also considered and a new copula is proposed, which arises as the first order approximation of the weighted geometric mean of two copulas. Invariance of two multivariate distributions (Cuadras–Augé and Johnson–Kotz) by weighted geometric and arithmetic means is also studied.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Carles M. Cuadras,