Two generalized bivariate FGM distributions and rank reduction
ABSTRACT: The Farlie-Gumbel-Morgensten (FGM) family of bivariate distributions with given marginals, is frequently used in theory and applications and has been generalized in many ways. With the help of two auxiliary distributions, we propose another generalization and study its properties. After de...
- Autores:
-
Cuadras, Carles M.
Diaz, Walter
Salvo Garrido, Sonia
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2019
- Institución:
- Universidad de Antioquia
- Repositorio:
- Repositorio UdeA
- Idioma:
- eng
- OAI Identifier:
- oai:bibliotecadigital.udea.edu.co:10495/30624
- Acceso en línea:
- https://hdl.handle.net/10495/30624
- Palabra clave:
- Dependence (Statistics)
Distribución (Teoría de probabilidades)
Distribution (probability theory)
Copulas bivariadas
Distribución Farlie-Gumbel-Morgensten
https://lccn.loc.gov/sh2001002906
- Rights
- openAccess
- License
- http://creativecommons.org/licenses/by-nc-nd/2.5/co/
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Two generalized bivariate FGM distributions and rank reduction |
| title |
Two generalized bivariate FGM distributions and rank reduction |
| spellingShingle |
Two generalized bivariate FGM distributions and rank reduction Dependence (Statistics) Distribución (Teoría de probabilidades) Distribution (probability theory) Copulas bivariadas Distribución Farlie-Gumbel-Morgensten https://lccn.loc.gov/sh2001002906 |
| title_short |
Two generalized bivariate FGM distributions and rank reduction |
| title_full |
Two generalized bivariate FGM distributions and rank reduction |
| title_fullStr |
Two generalized bivariate FGM distributions and rank reduction |
| title_full_unstemmed |
Two generalized bivariate FGM distributions and rank reduction |
| title_sort |
Two generalized bivariate FGM distributions and rank reduction |
| dc.creator.fl_str_mv |
Cuadras, Carles M. Diaz, Walter Salvo Garrido, Sonia |
| dc.contributor.author.none.fl_str_mv |
Cuadras, Carles M. Diaz, Walter Salvo Garrido, Sonia |
| dc.subject.lcsh.none.fl_str_mv |
Dependence (Statistics) |
| topic |
Dependence (Statistics) Distribución (Teoría de probabilidades) Distribution (probability theory) Copulas bivariadas Distribución Farlie-Gumbel-Morgensten https://lccn.loc.gov/sh2001002906 |
| dc.subject.lemb.none.fl_str_mv |
Distribución (Teoría de probabilidades) Distribution (probability theory) |
| dc.subject.proposal.spa.fl_str_mv |
Copulas bivariadas Distribución Farlie-Gumbel-Morgensten |
| dc.subject.lcshuri.none.fl_str_mv |
https://lccn.loc.gov/sh2001002906 |
| description |
ABSTRACT: The Farlie-Gumbel-Morgensten (FGM) family of bivariate distributions with given marginals, is frequently used in theory and applications and has been generalized in many ways. With the help of two auxiliary distributions, we propose another generalization and study its properties. After defining the rank of a distribution as the cardinal of the set of canonical correlations, we prove that some well-known distributions have practically rank two. Consequently we introduce several extended FGM families of rank two and study how to approximate any bivariate distribution to a simpler one belonging to this family. |
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2019 |
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2019 |
| dc.date.accessioned.none.fl_str_mv |
2022-09-13T20:12:27Z |
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2022-09-13T20:12:27Z |
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info:eu-repo/semantics/article |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/redcol/resource_type/CJournalArticle |
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Artículo de revista |
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http://purl.org/coar/resource_type/c_6501 |
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publishedVersion |
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0361-0926 |
| dc.identifier.uri.none.fl_str_mv |
https://hdl.handle.net/10495/30624 |
| dc.identifier.doi.none.fl_str_mv |
10.1080/03610926.2019.1620780 |
| dc.identifier.eissn.none.fl_str_mv |
1532-415X |
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0361-0926 10.1080/03610926.2019.1620780 1532-415X |
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https://hdl.handle.net/10495/30624 |
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eng |
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eng |
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info:eu-repo/semantics/openAccess |
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http://creativecommons.org/licenses/by-nc-nd/2.5/co/ |
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openAccess |
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application/pdf |
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Taylor & Francis Group |
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GIFI - Grupo de Investigación en Finanzas de la UdeA |
| institution |
Universidad de Antioquia |
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Cuadras, Carles M.Diaz, WalterSalvo Garrido, Sonia2022-09-13T20:12:27Z2022-09-13T20:12:27Z20190361-0926https://hdl.handle.net/10495/3062410.1080/03610926.2019.16207801532-415XABSTRACT: The Farlie-Gumbel-Morgensten (FGM) family of bivariate distributions with given marginals, is frequently used in theory and applications and has been generalized in many ways. With the help of two auxiliary distributions, we propose another generalization and study its properties. After defining the rank of a distribution as the cardinal of the set of canonical correlations, we prove that some well-known distributions have practically rank two. Consequently we introduce several extended FGM families of rank two and study how to approximate any bivariate distribution to a simpler one belonging to this family.application/pdfengTaylor & Francis GroupGIFI - Grupo de Investigación en Finanzas de la UdeAinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/redcol/resource_type/CJournalArticleArtículo de revistahttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/co/http://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by/4.0/Dependence (Statistics)Distribución (Teoría de probabilidades)Distribution (probability theory)Copulas bivariadasDistribución Farlie-Gumbel-Morgenstenhttps://lccn.loc.gov/sh2001002906Two generalized bivariate FGM distributions and rank reductionCommunications in Statistics - Theory and Methods563956654923ORIGINALCuadrasCarles_2022_TwoGeneralizedFGMDistributions.pdfCuadrasCarles_2022_TwoGeneralizedFGMDistributions.pdfArticulo de revistaapplication/pdf2880017https://bibliotecadigital.udea.edu.co/bitstream/10495/30624/1/CuadrasCarles_2022_TwoGeneralizedFGMDistributions.pdfd62857aa5b2371025812fcf436032f63MD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8823https://bibliotecadigital.udea.edu.co/bitstream/10495/30624/2/license_rdfb88b088d9957e670ce3b3fbe2eedbc13MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-81748https://bibliotecadigital.udea.edu.co/bitstream/10495/30624/3/license.txt8a4605be74aa9ea9d79846c1fba20a33MD5310495/30624oai:bibliotecadigital.udea.edu.co:10495/306242022-09-13 15:12:28.106Repositorio Institucional Universidad de Antioquiaandres.perez@udea.edu.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 |