On a general class of gamma based copulas

Barry C. Arnold; Matthew A. Arvanitis

doi:10.1515/demo-2021-0117

Treesearch

On a general class of gamma based copulas

Formally Refereed

Authors:

Barry C. Arnold, Matthew A. Arvanitis

Year:

2021

Type:

Scientific Journal

Station:

Forest Products Laboratory

DOI:

https://doi.org/10.1515/demo-2021-0117

Source:

Dependence Modeling

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Abstract

A large family of copulas with gamma components is examined, and interesting submodels are dened and analyzed. Parameter estimation is demonstrated for some of these submodels. A brief discussion of higher-dimensional versions is included

Keywords

Copula, gamma components, bivariate beta, tail dependence, likelihood-free estimation, approximate Bayesian computation

Citation

Arnold, Barry C.; Arvanitis, Matthew. 2021. On a general class of gamma based copulas. Dependence Modeling. 9(1): 374-384. https://doi.org/10.1515/demo-2021-0117.