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Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula
Joint Authors
Boateng, Maxwell Akwasi
Omari-Sasu, Akoto Yaw
Avuglah, Richard Kodzo
Frempong, Nana Kena
Source
Journal of Probability and Statistics
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-03-14
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This study exploits the closure property of the converse convolution operator to come up with a hybrid Clayton-Frank Archimedean copula for two random variables.
Pairs of random variables were generated and the upper tail observation of the cumulative distribution function (CDF) was used to assess the right skew behavior of the proposed model.
Various values of the converse convolution operator were used to see their effect on the proposed model.
The simulation covered lengths n=10i, i=2,3,4,5, and 6.
The proposed model was compared with about 40 other bivariate copulas (both Archimedean and elliptical).
The proposed model had parameters that spanned the entire real line, thus removing restrictions on the parameters.
The parameters theta and omega were varied for a selected interval and the hybrid Clayton-Frank model was, in most cases, found to outperform the other copulas under consideration.
American Psychological Association (APA)
Boateng, Maxwell Akwasi& Omari-Sasu, Akoto Yaw& Avuglah, Richard Kodzo& Frempong, Nana Kena. 2018. Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula. Journal of Probability and Statistics،Vol. 2018, no. 2018, pp.1-9.
https://search.emarefa.net/detail/BIM-1197694
Modern Language Association (MLA)
Boateng, Maxwell Akwasi…[et al.]. Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula. Journal of Probability and Statistics No. 2018 (2018), pp.1-9.
https://search.emarefa.net/detail/BIM-1197694
American Medical Association (AMA)
Boateng, Maxwell Akwasi& Omari-Sasu, Akoto Yaw& Avuglah, Richard Kodzo& Frempong, Nana Kena. Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula. Journal of Probability and Statistics. 2018. Vol. 2018, no. 2018, pp.1-9.
https://search.emarefa.net/detail/BIM-1197694
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1197694