On a weighted version of the Gumbel-Barnett copula

Christophe  Chesneau

doi:10.55059/ijm.2022.1.2/19

Authors

Christophe Chesneau

DOI:

https://doi.org/10.55059/ijm.2022.1.2/19

Keywords:

Probability, Copula, Power function, Multivariate distributions, Dependence

Abstract

Copulas are increasingly widely used probabilistic tools for describing, analyzing, and modeling random variable dependencies. In this article, we offer a new copula which stands out from the others by an original definition based on the simple symmetric two-dimensional function \xyyx" multiplied with an exponential function. It can also be viewed as a special weighted version of the Gumbel-Barnett copula. We investigate its properties and relationships with other well-known copulas. Some graphical and numerical analyses of its characteristics are also provided.

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