A More Flexible Counterpart of a Huang–Kotz's Copula-type
Keywords:FGM copula, Huang–Kotz FGM copula, iterated FGM copula, Spearman’s Rho, Kendall’s Tau
We propose a more flexible symmetric counterpart of the Huang–Kotz’s copula of the 1st type. Both the counterpart and Huang–Kotz’s copula of the 1st type provide the same improvement in the correlation level. Moreover, the proposed copula includes special cases of many other extensions of the Farlie–Gumbel–Morgenstern (FGM) copula.
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LicenseCopyright (c) 2022 Proceedings of the Bulgarian Academy of Sciences
Copyright (c) 2022 Proceedings of the Bulgarian Academy of Sciences
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