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A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas

A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas Copulas are multivariate distribution functions which their margins are distributed uniformly. Therefore, copulas are pretty useful for modeling several types of data. As they allow different dependence patterns. A numerous number of new classes of copulas have been suggested in the literature. Each granted different characteristics that make it compatible with certain type of data. In this paper, we introduce a new family of Archimedean copulas. The multiplicative Archimedean generator of this copula is the inverse of the probability generating function of a truncated-Poisson distribution. The properties of this copula are studied in detail. Three applications are provided for the sake of comparison between this copula and well-known ones. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Bulletin of the Malaysian Mathematical Sciences Society Springer Journals

A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas

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References (63)

Publisher
Springer Journals
Copyright
Copyright © The Author(s), under exclusive licence to Malaysian Mathematical Sciences Society and Penerbit Universiti Sains Malaysia 2022
ISSN
0126-6705
eISSN
2180-4206
DOI
10.1007/s40840-022-01333-w
Publisher site
See Article on Publisher Site

Abstract

Copulas are multivariate distribution functions which their margins are distributed uniformly. Therefore, copulas are pretty useful for modeling several types of data. As they allow different dependence patterns. A numerous number of new classes of copulas have been suggested in the literature. Each granted different characteristics that make it compatible with certain type of data. In this paper, we introduce a new family of Archimedean copulas. The multiplicative Archimedean generator of this copula is the inverse of the probability generating function of a truncated-Poisson distribution. The properties of this copula are studied in detail. Three applications are provided for the sake of comparison between this copula and well-known ones.

Journal

Bulletin of the Malaysian Mathematical Sciences SocietySpringer Journals

Published: Sep 1, 2022

Keywords: Copula; Archimedean generator; Archimedean copula; Truncated-Poisson Copula; Probability generating function; 62H05; 62E10; 60E05; 60E15

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