collaborators

1 paper

math.ST2022

A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions

Christopher Blier-Wong, Hélène Cossette, Sébastien Legros +1

We propose an approach to construct a new family of generalized Farlie-Gumbel-Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can model moderate…