Open AccessOn a weighted version of the Gumbel-Barnett copula
Author(s) -
Christophe Chesneau
Publication year - 2022
Publication title -
innovative journal of mathematics
Language(s) - English
Resource type - Journals
eISSN - 2790-3389
pISSN - 2790-3370
DOI - 10.55059/ijm.2022.1.2/19
Subject(s) - gumbel distribution , copula (linguistics) , exponential function , probabilistic logic , mathematics , random variable , econometrics , statistical physics , mathematical economics , statistics , extreme value theory , mathematical analysis , physics
Copulas are increasingly widely used probabilistic tools for describing, analyzing, and modeling random variable dependencies. In this article, we offer a new copula which stands out from the others by an original definition based on the simple symmetric two-dimensional function \xyyx" multiplied with an exponential function. It can also be viewed as a special weighted version of the Gumbel-Barnett copula. We investigate its properties and relationships with other well-known copulas. Some graphical and numerical analyses of its characteristics are also provided.