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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…
math.ST2022
Exchangeable FGM copulas
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
Copulas are a powerful tool to model dependence between the components of a random vector. One well-known class of copulas when working in two dimensions is the Farlie-GumbelMorgen…