Abstract
We propose a method to obtain a new class of copulas using a probability generating function (PGF) of positive-integer valued random variable. Some existing copulas in the literature are sub-families of the proposed copulas. Various dependence measures and invariant property of the tail dependence coefficient under PGF transformation are also discussed. We propose an algorithm for generating random numbers from the PGF copula. The bivariate concavity properties, such as Schur concavity and quasi-concavity, associated with the PGF copula are studied. Two new generalized FGM copulas are introduced using PGFs of geometric and discrete Mittag-Leffler distributions. The proposed two copulas improved the Spearman’s rho of FGM copula by (−0.3333, 0.4751) and (−0.3333, 0.9573). Finally, we analyse a real dataset to illustrate the practical application of the proposed copulas.
Acknowledgement
The authors are thankful to the editor and anonymous referees for their constructive and helpful comments which have significantly improved the article. Swaroop Georgy Zachariah is thankful to the IIT Indore for providing financial support. Mohd. Arshad would like to express his gratitude to the Science and Engineering Research Board (SERB), India for financial support under the Core Research Grant CRG/2023/001230. Ashok Kumar Pathak would like to express his gratitude to the SERB, India for financial support under the MATRICS research grant MTR/2022/000796.
Communicated by Gejza Wimmer
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© 2024 Mathematical Institute Slovak Academy of Sciences
Articles in the same Issue
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Articles in the same Issue
- 10.1515/ms-2024-frontmatter4
- Intervals of posets of a zero-divisor graph
- Coalgebraic methods for Ramsey degrees of unary algebras
- On nonexistence of D(n)-quadruples
- Rees short exact sequences and preenvelopes
- Generalized discrete Grüss and related results with applications
- Radius problem associated with certain ratios and linear combinations of analytic functions
- Existence results for a fourth order problem with functional perturbed clamped beam boundary conditions
- Oscillatory and asymptotic behavior of even-order nonlinear differential equations with mixed neutral terms
- On a solvable four-dimensional system of difference equations
- Euclidean operator radius inequalities of d-tuple operators and operator matrices
- Equable parallelograms on the Eisenstein lattice
- On certain star versions of the Hurewicz property using ideals
- Relative versions of star-Menger property
- The Maxwell-Boltzmann-Exponential distribution with regression model
- New results for the Marshall-Olkin family of distributions
- A new family of copulas based on probability generating functions
- Induced mappings on the hyperspace of totally disconnected sets